You can use GetAttributes Method and wait in Done Event for an error in case that file doesn't exist.
ErrorCode value inside Done Event should be "40550" for FTP/FTPS protocol and "30031" for SFTP.
Here is example how you can call GetAttributes Method:
dlx1.GetAttributes "/home/something/notexistfile.txt"
and how to get error in Done Event:
Debug.Print ErrorCode