/etc/hosts gets over written
For me it's in the file 

/etc/pulse-hosts.bak


You have to edit this file to customize your hosts directives

When you are going to reconnect/connect using the Pulse Secure VPN, it's going to merge the directives from the 

/etc/pulse-hosts.bak


with the content from Pulse directives and creates the 

/etc/hosts


2018 Update 

With the newer version of Pulse Secure you have to exit the program first (check your active process).

Modify your host (/etc/hosts) and then restart Pulse Secure.