That is expected behaviour.
ESXi loads completely into RAM when it boots and the filesystem is populated by extracting a bunch of tarballs into RAM during boot.
So you either have to include your custom file in one of the tarballs - or probably easier - use rc.local to echo the relevant lines of your file into ssh_config.
There exists a kb-entry on how to add files to ESXi so that they survive a reboot but I dont find the link right now