For a Windows Win32 process to have access to the desktop GUI, it needs to run inside window station "WinSta0". A Win32 process can query which window station it runs in via GetProcessWindowStation.
The sshd from “OpenSSH for Windows” normally is not started inside any window station, and therefore any processes that it starts will not have access to any desktop GUI. It's a command-line-only environment.
This is one of the many things where Windows is very different from Unix-like operating systems, which have nothing equivalent to a window station.
You can of course manually start sshd inside your GUI session, and then the commands it executes will run in the same window station and thereby have access to the same GUI desktop. But then sshd doesn't run all the time as a service.
To run sshd inside your GUI session, you first need to stop it running as SYSTEM (either using Stop-Service sshd in an admin powershell, or using the services.msc GUI). Then you can simply start sshd.exe from the command line in a cmd.exe or PowerShell terminal window that you have opened in your GUI session, and then ssh connections into that sshd process will have access to your GUI environment. But you now can only login via ssh into the one user account under which sshd runs, because sshd has lost the ability to change user.
See also https://github.com/PowerShell/Win32-OpenSSH/wiki/sshd or https://github.com/PowerShell/Win32-OpenSSH/wiki/Troubleshooting-Steps