Hello Fernando,
With VM DirectPath I/O direct assignment of the Mellanox HCAs to the VMs, vSphere ESXi is mostly out of the picture, except for proxying physical interrupts to be delivered to the VM.
I would recommend making sure your Mellanox HCA firmware is up to date using their firmware and tools available on Mellanox’s web site, and installing the latest MLX_OFED packages in the guest OS.
If things still don’t work, your best bet is to contact Mellanox for additional support.
Regards