Set password for OMD Site user to use with SFTP?

You will have another administrative user on your checkmk host with which you can run sudo passwd siteuser to set the password.

For the ssh key you can use ssh-copy-id <your user name>@<your_checkmk_host on your source machine if it is a linux/unix system.
Otherwise you will have to add your public key to the authorized_keys file of the site user manually.
If you google ssh private/public key authentication there is tons of how tos how to achive that.

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