I started playing with MDX again but I found one thing which truly iritated me.
It as MDA message which handed my app while debugging (both release and debug builds)
When I run that app from the system explorer it was just fine.
I made some research and I found that it's a bug in the MDX 1.1 build for .NET Framework 2.0
The only way to eliminate all these messages related to MDA and LoaderLock issue can be done by dissabling MDA at all or particular exceptions.
Like written there: http://msdn2.microsoft.com/en-us/library/ms172219.aspx
My solution was to uncheck LoaderLock in Exceptions Manager. I hope that it might be helpful for you either.