Short and sweet: you need to create a bootable ESXi USB stick and the "normal" method was not doing it.
In my situation, I was using balenaEtcher but even if it was successful, the USB stick was not bootable. The tool did warned me when I have selected the ESXi iso.

So here we are. In order to create a bootable ESXi usb stick, you need to have:
1. ESXi iso image from vmware website (https://my.vmware.com/group/vmware/evalcenter?p=free-esxi7)
2. An empty USB stick.

1. Format the USB stick as FAT or FAT32.

2. List and make the USB stick partition bootable:

fmbp16:~ root# diskutil list /dev/disk2

/dev/disk2 (external, physical):
   #:                       TYPE NAME                    SIZE       IDENTIFIER
   0:     FDisk_partition_scheme                        *15.7 GB    disk2
   1:                 DOS_FAT_32 ⁨UNTITLED⁩                15.7 GB    disk2s1

fmbp16:~ root# diskutil umountDisk /dev/disk2
Unmount of all volumes on disk2 was successful

fmbp16:~ root# fdisk -e /dev/disk2
fdisk: could not open MBR file /usr/standalone/i386/boot0: No such file or directory
Enter 'help' for information
fdisk: 1> f 1
Partition 1 marked active.
fdisk:*1> write
Writing MBR at offset 0.
fdisk: 1> exit

3. Copy all files and folder from ESXi iso to the USB stick:

fmbp16:~ root# cp -R /Volumes/ESXI-7.0B-16324942-STANDARD/* /Volumes/ESXi/
fmbp16:~ root#

4. Edit ISOLINUX.CFG to set the partition to boot from, as follows:

NOTE: you need to add "-p 1" at the end of APPEND line.

fmbp16:~ root# cd /Volumes/ESXi/
fmbp16:ESXi root# cat ISOLINUX.CFG | grep APPEND
  APPEND -c boot.cfg
fmbp16:ESXi root# sed -i "" 's/APPEND -c boot.cfg/APPEND -c boot.cfg -p 1/g' ISOLINUX.CFG
fmbp16:ESXi root# cat ISOLINUX.CFG 
  APPEND -c boot.cfg -p 1