The WLC is only a SCP client. As such, it cannot be used as a SCP server.
So the SCP feature works, when the command is issued from the WLC CLI, either to copy to or from an external SCP server.
To use a SCP server, which is not a Linux machine (for example, Windows), you must have a SSH server that can also execute commands and knows the SCP command. WLC establishes a SSH connection to the server and then it sends the SCP command, which the server should be aware of how to execute.
For example, WinSCP is a SCP client. As such, the 'talk' between a client (WinSCP) and another client (MX device) will not work.