There isn't a comment specifically saying that including more config files can override values, so I'll give you that. However, it does have comments explaining exactly how to override default values. It looks like what the OP of this thread is attempting should work unless they messed up something else.

I'm looking at a couple sshd_config files on my servers, and the Include directive for the overrides is the first non-comment line in the file.

Having that Include be first means that changing any settings in the sshd_config file will override anything set by sshd_config.d/* files.

What in the heck are these people doing to break their config? There really is no legitimate issue here.