Hi
the issue is, that there is no '.ssh' directory in / on ESXi
the directory in esxi is placed to /etc/ssh/keys_<username>
same for 'authorized_keys' file, which is usually to find in this directory, in case you want to implement rsa key authentication.
it worked for me by creating a softlink (ln -s /etc/ssh/keys-root /.ssh)
the very first connection to anther host still produces the above message, but just simply because there was no known_hosts file at all at the time
after first connect you will see the known_hosts file then
and when connecting to the next host, you will not get the message anymore, as well you can verify the changed filesize and content of the known_hosts file.
for the point 'but are still unable to scp between the hosts'
pls check that again, scp should be very well possible, since you are obviously able to login to the other server.
usually there is (as u had mentioned) the firewall blocking outgoing requests from ssh-client
but if ssh-client outgoing is allowed, it doesn't matter anymore if ssh or scp is getting used..
Cheers