What you ask for (in the example image) is a different than my render here. Your demand is
volume caustics, while my render only show regular caustic in ground plane.
Only Vray 1.5 SP3 or newer (not sure) be able generate volume cautics (they've got a new
VRayEnvironmentFog as a support elements). It's even tricker than what you saw here.
For more details, maybe you check out a nice tutorial -
www.francescolegrenzi.com/forum/viewtopic.php?f=25&t=188 But for your question, I think it's necessary to assign a modifier on the plane rather rely in bumpmap in material texture slot. The geometry necessary real for caustics to work correctly, as some case I test myself long time ago. If you want result with caustic then the object geometry play a important role.