I did this:
# mknod --mode 666 /vz/private/4010/lib/udev/devices/ptyp0 c 2 0
# ls -l /vz/private/4010/lib/udev/devices/ptyp0
crw-rw-rw- 1 root root 2, 0 Jan 16 15:48 /vz/private/4010/lib/udev/devices/ptyp0
# mknod --mode 666 /vz/private/4010/lib/udev/devices/ptmx c 5 2
# ls -l /vz/private/4010/lib/udev/devices/ptmx
crw-rw-rw- 1 root root 5, 2 Jan 16 15:51 /vz/private/4010/lib/udev/devices/ptmx
and now, it works: I can go in the VE, out, stop it, restart it and go back in. ptyp0 and ptmx are persistent.
I used to make it with MAKEDEV each time; What is it that made MAKEDEV create the devs in a non persistant way vs mknod? (I am not very knowledgeable in this area)