>>> Or I should be worried about the vmdks consistency?
Less about the consistency, but more about the missing header/descriptor .vmdk files! It looks like someone tried to delete the VM's files from the datastore, but due to the file locks only some of the files were deleted. Depending on the used backup application, you may be able to recover the missing files from the backup. If not, you could e.g. follow VMware KB: Recreating a missing virtual machine disk descriptor file, or create a new VM in a lab environment (with the same name, configuration and disk sizes) and use e.g. WinSCP to download the .vmx and the .vmdk descriptor files. If you don't have sufficient disk space in the lab, create thin provisioned virtual disks and then edit the descriptor files (remove ddb.thinProvisioned = "1")
André