Just noticed that I forgot a Thread.Sleep(200) after the instantiation of the networkinterface in the code I posted.
My original code it is:
//For Panda III
netif = new GHI.Networking.EthernetENC28J60(Microsoft.SPOT.Hardware.SPI.SPI_module.SPI2, FEZPandaIII.Gpio.D20, FEZPandaIII.Gpio.D21, FEZPandaIII.Gpio.D25);
Thread.Sleep(200);
In release mode the G80 code will run faster and perhaps the Enc28 is in this mode not ready with his initialization when the command to change the MAC arrives.