Annoyingly the out of the box firewall rules that come with Windows Server 2012 R2 for FTP don’t work. I can confirm this by disabling the Windows Firewall and connecting via the FTP command, then enabling the Windows Firewall, then adding the predefined firewall rules for FTP (there are 3 that should already be enabled when you setup the FTP site).
To fix this, create a new firewall rule that allows all programs to communicate over TCP on local port 21, and any remote ports.