It's not under connected devices from what I see after opening the settings app.
After opening the "Settings App,", at the top search bar, type USB.
3rd item down from the top: USB Preferences
You will then see "File Transfer" as the 3rd item down.
One note, Duo must be connected via a USB cable to you Studio otherwise I've found the "buttons" inactive."
You should then see a new folder under "This PC" in W10's File Manager : Surface Duo/Internal Storage/ with folders displayed including Music & Pictures. Then it should be drag and drop from your Studio's folders to Duo's.
Hope this helps.