Isn’t there a way to automatically put such a fingerprint to the machine’s “Advanced > SSH Settings > General: Use host key > Fingerprint” entry (with support for modern hashed fingerprints and not only MD5)?
If I connect to a new secure gateway for example it also puts the MD5 fingerprint automatically to the “Advanced > Security > General : Fingerprint” entry.
Since you are using the PuTTY plugin theres not much we can do. When you use the Rebex plugin we can do more in this regard. Sorry to be the bearer of bad news.
If I connect to the gateway host using rebex plugin with Pageant and then connect to the destination host via ssh, this works without an additionally authentication.