when explorer crashes it loses ALL tray icons, it's nothing related to winmx, it just loses the lot... some programs periodically refresh the icon (for example to animate it) so those ones when they go to refresh it it gets put back, but winmx doesn't - most programs don't actually, as it messes up other things, like the XP auto hide inactive icons thingy (that's the technical name for it)
the good news is that there is a way to make it refresh the icon so i would reappear after a explorer crash, the bad news is that it is to right click the tray icon... lol
although i think if you have a regular problem of explorer crashing enough for you to be annoyed by losing your tray icons, then you should seriously consider sorting out that is causing it to crash