If you have two physical machines on a physical network, in order to share files, they have to traverse the network, and network equipment to get to each other. Even if you have two VMs on two separate ESXi's I would imagine they'd have to do this.
Now if you have two VMs on the same ESXi that access each others files, since they're both basically just software running on the same server, I would think there would be room here for a different algorithm underlying the abstraction in which they could access each others' files faster using what appears to the VMs themselves to be the same protocol of SMB.
Does VMWare do this? Because it appears to me that files are transferred faster between two VMs on the same ESXi than in the other two cases.