The TransferProgressChanged event is raised internally, so there is none such possibility to pass some unique reference there.
The one reference that I thought that you could use with combination of the simple sync PutFile / GetFile methods to differentiate the correct row in your DataGridView would be using the SftpProblemDetectedEventArgs.LocalPath or SftpProblemDetectedEventArgs.RemotePath to differentiate which transferring file have changed its progress.
void sftp_ProblemDetected(object sender, SftpProblemDetectedEventArgs e)
{
Console.WriteLine(e.LocalPath);
Console.WriteLine(e.RemotePath);
}