Have you tried running mx with wine from a terminal window?
That way you should see error messages and this might give you a hint about what the problem might be.
Personally I'm running the ubuntu package for wine0.9.16 on my debian (sid/unstable) without any problems.
Just open a terminal window and start winmx with "wine WinMx.exe" (need to specify the path if you're not actually in the folder winmx is installed in).
That way you should get the error messages.
If it connects as you say it can't be that the .dll override isn't set right so it must be something else.
Just post back with the error message if you can't figure it out and we'll see what it tells us
Regarding the wcs error message:
If I remember correctly wcs detects modified hosts files, so it might also pick up on the fact that the wmw patch temporarily puts in an entry fro the status bar.
As long as everything works fine it can safely be ignored.
Btw, which wine package are you running, the one from
http://wine.budgetdedicated.com/archive/index.html ?
If not maybe you should try that one