The problem is that VMWare by default doesn’t provide information needed by udev to generate /dev/disk/by-id entries. Apart from ESX, VMWare Workstation is also affected.
The resolution is to put
disk.EnableUUID = "TRUE"
to the virtual machine definition, i.e. into the *.vmx file or via
Edit Settings -> Options tab -> General -> Configuration Parameters in ESX UI.
After rebooting VM with this parameter set, the disk are visible in /dev/disk/by-id and multipathd doesn’t complain anymore.
I had to power off the VM, and then go to Edit Settings -> VM Options -> Advanced -> EDIT CONFIGURATION.