I downloaded Genymotion and Genymotion IntelliJ plugin. I set Genymotion path in Intellij. Instructions: https://cloud.genymotion.com/page/doc/#collapse-intellij
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First it seemed like the case is path to Genymotion, but this error is caused by a bug that does not let Genymotion plugin work with VirtualBox later than 4.2
To fix this error all you need to do is go here: https://www.virtualbox.org/wiki/Download_Old_Builds_4_2 and download the 4.2 version of VirtualBox. Once you reinstall it - the error is gone and Genymotion plugin opens device list properly