How to use rsync via ssh with IPv6 LLA (link local address) addresses on OSX?
The problem was with the OSX version of rsync. I don't know exactly what is the problem. It should be some of capabilities of rsync binary/version. 

OSX version:

/usr/bin/rsync --version
rsync  version 2.6.9  protocol version 29
...
Capabilities: 64-bit files, socketpairs, hard links, symlinks, batchfiles,
              inplace, IPv6, 64-bit system inums, 64-bit internal inums


Installing a version from macports:

/opt/local/bin/rsync --version
rsync  version 3.1.2  protocol version 31
...
Capabilities:
    64-bit files, 64-bit inums, 64-bit timestamps, 64-bit long ints,
    socketpairs, hardlinks, symlinks, IPv6, batchfiles, inplace,
    append, ACLs, xattrs, iconv, symtimes, no prealloc, file-flags,
    HFS-compression


Although both have the IPv6 support, this 2.6.9 distributed with OSX doesn't work as expected. 

With 3.1.2 I can use:

rsync -e ssh /src/dir/* user@[fe80::a:b:c:d%eth0]:/dst/dir


Thanks for helping.