1st thing is DH key exchange, basically "no that we speak privately and securely let me tell you who I [the server] am". Think about it. Any other way would leave the client open to a MitM spoofing the server's keys.

But, of course, when you ignore the changed fingerprint on the server you won't know who is receiving your credentials.
With pubkey auth you don't have to worry about losing anything usable to impersonate you. Also makes brute force login attempts infeasible due to the vast number of possible keys.