I'm answering my own question here because I tinkered around with this last night and discovered the real reason people don't use the class configs. They don't work right.
If you add a rocket jump script to the soldier config I would expect that every time I play a soldier, and only a soldier, the rocket jump script would be enabled. This is only mostly true. The fact is that once I play a soldier the rocket jump script is now on all my classes.
Lets say I assigned the rocket jump script to mouse2 (which is entirely reasonable since the bazooka doesn't have an alt+fire). I play a soldier for a while, but then my team needs some defense and I switch to a demo man. When I try to detonate my sticky bombs using mouse2 I now jump and fire another sticky. Very, very annoying.
If you use the autoexec config at least you know that everything you add will affect all classes and you can plan accordingly.