You should disable Web Cache feature when running on VMware. Web Cache creates very high IO which is an area where VMWare usually performs suboptimal. You will need a high-end storage backend solution for your ESXi server and be able to configure it correctly to yield maximum performance. Ideally you have a dedicated storage for MWG, otherwise the disk IO will have an impact on all virtual machines utilizing that storage.
Memory is another important factor, especially together with Web Cache. The more the merrier...
Where is Web Cache need to disable, if on MWG then how?
There is a checkbox at Configuration -> Proxies(HTTP(S), FTP, ...) -> Web Cache -> [x] Enable cache. Untick it.
Also Web Cache will be used only if a rule triggers the web cache event. In the default rules it is Common Rules -> Web Cache. Disabling/removing that rule would do the trick, too.
Web Cache will only be active if the configuration checkbox is active and one of the rules triggers web cache event. So disabling the checkbox is the easiest way to disable web cache completely. If you want to lower web cache impact while not disabling it completely you could refine the rules to only cache items on a white list or specific media types. Have a look at "Read From Cache" and "Write to Cache" rules.