I have recommended MobaXTerm Free Edition on this website but have recently become aware of a possible bug in the way that MobaXTerm and Brickman interact. That bug could be in either MobaXTerm or Brickman - more likely Brickman since it is still officially in a pre-release phase. If, in MobaXTerm, you use the 'Create New File' button in the SFTP sidebar or if you right-click the sidebar and choose 'New Empty File' to create a new python file then you can edit that file (including putting the shebang in the first line of the file) and make it executable but I believe the file cannot be opened correctly in Brickman until the EV3 brick has been restarted. Instead, a tiny text message flashes briefly on the LCD screen - it says something like 'Bad interpreter. Text File Busy.' The same file can be launched fine from the terminal or on the computer (using RPyC) - it is only when you try to run it from Brickman that this problem is apparent.
If you experience this problem then simply create new python files some other way: