I would like to be able to access files in my VPS via Explorer on Windows and Finder on macOS, hence I'm trying to setup WebDAV. As I already have a few web services run via NGINX, and NGINX's ...

Oh, sorry, I was planning on using WebDAV with SSL to overcome this issue as well. Otherwise I'd be in the same boat as vanilla FTP. I believe that Windows 7 won't connect to WebDAV without SSL ...