The SSLVPN app installed on the computer automatically downloads this and stores it in the user's profile. Starting the SSLVPN client via the .wgssl file is really only a troubleshooting step.
The file is only included in the support file from the firewall's diagnostic area (status report in FSM, or system status -> diagnostics in WebUI.)
This allows IP/certificate changes to be made to an authenticated user seamlessly, whereas manually distributing the file will require this to be done each time anything changes.
WatchGuard Customer Support