I want to add css class to a field inside hook_field_widget_form_alter, but it doesn't work!
Old issue but it might help future viewers.
Try this:
$element['value']['#attributes']['class'] = 'myclass';

See field_multiple_value_form() which creates the render array.
Then main theme function for rendering fields in forms is theme_field_multiple_value_form() and the parent theme function is theme_form_element()