No, you do not need to add fxp0 into a security zone. It is for out-of-band management so no security processing is done.
Couple things to check.
1. Did you enable ssh as a system service?
root@srx# set system services ssh
2. Do you have any firewall filters applied to either fxp0 or lo0? If so then try removing those.
3. Assuming you have ssh enabled and no firewall filters, also try different SSH clients as it could be SSH settings. Also can run monitor traffic for fxp0 to see if you are even seeing the ssh traffic or not coming in.
-Richard