You need to make sure you have SNMP enabled on your ESX server.
1) Enable SNMP
2) Enable the vmware-snmpd agent as well
Now the vmIDs lookup should work, and you'll start getting .cfg files created and no error messages. However, for added detail, you should also
3) Install the vmware-stats SNMP extension script (including the modifications to snmpd.conf) on the ESX server. This is available from
http://www.nagiosexchange.org, just search for the check_esx plugin.
Once you have done this, you will also get readytime stats and more detailed memory stats collected.
If you still don't get anything coming out, the error message should help. Try to snmpwalk your ESX server. Do you get anything at all? If not, SNMP is not set up correctly or you have the wrong community. Try to SNMPwalk the enterprises OID tree, and see if the ESX tree is there. If not, you don't have the vmware-snmpd running.