First off, I'm sorry you're having problems with PianoCheetah.

PianoCheetah is my baby and rest assured I will work hard to fix ALL problems.

So can you please...
use DebugView to capture PianoCheetah's debugging.   Save it to c:\ and run it from windows explorer.
turn on PianoCheetah debugging in the Global Settings:
run MidiConfig, click the "refresh" icon
run PianoCheetah or SETUP_PIANOCHEETAH the same way you did before and try to make the bug happen.
save DebugView's log in a file (menu: file / save as) and attach it to an email to me
Turn debugging back OFF in Global Settings. (uncheck it)

Thanks very much.  
This will help me and others that are likely having the same problem.