Yes, you're right. There is a definite problem here. One way round it would be to add the external decleration to altera_avalon_lan91c111.inl:
extern void CYGDAT_LAN91C111_GET_ESA(struct lan91cxx_priv_data* cpd);
This would then allow you to provide externally the function with the name you defined in the configtool. However this will require you to use the header file smsc_lan91cxx.h, which is private to the lan91cxx component - so that's not a very satisfying solution.
In the short term you can simply provide your own function in altera_avalon_lan91c111.inl to set the MAC address, and we can look at providing a better solution for the next release.
Thanks for pointing this out!