Contudo ao tentar logar via sftp, obtinha o seguinte log
Accepted password for MY_USER
session opened for user MY_USER by (uid=0)
fatal: bad ownership or modes for chroot directory component "/var/www/RESTRICTED_DIR"
pam_unix(sshd:session): session closed for user MY_USER
Removendo a configuração do usuário no sshd_config, o usuário MY_USER conseguia logar, mas com acesso a todos os diretórios.
No man page do chroot que é utilizado para limitar o acesso diz que
ChrootDirectory
Specifies the pathname of a directory to chroot(2) to after authentication.
All components of the pathname must be root-owned directories that are not
writable by any other user or group. After the chroot, sshd(8) changes the
working directory to the user's home directory.