Hi,
this is normal in ESXi. Only the standard files and directories + VMFS volumes are presvered on reboot.
There is a cronjob running /sbin/auto-backup.sh once per hour to copy important configs to keep them available after reboot.
Edit: Here's a manual on how to use those scripts to save your cronjob. Didn't test it, so use it at your own risk!
http://www.jules.fm/Logbook/files/add_cron_job_vmware.html
Regards