Firstly, this should be posted in the Nintendont thread (but no biggie, just remember for next time)
Yes, this is completely normal behavior. USB loaders will always delete the ninconfig.bin file, or the Nintendont settings file, upon launching a GameCube game, so that nothing conflicts between the two programs. Its an easy fix, though. Go into CFG's settings (I dont know how exactly its arranged, I personally use GX) and find something along the lines of "Loader Settings", "GameCube Settings", "Nintendont Settings", etc. Then, be sure to set autoboot to "on" (this will tell CFG to launch the GameCube game directly, without launching the Nintendont UI first). After that, you can set all of Nintendont's settings within CFG