After 4 hours of troubleshotting trying to see what was wrong in my application, I finally found the reason and thought I would share this one with you.
I switch my mail to Mabry. When doing the tests of sending an email, everything was working ok. But, when I was testing this with the Universal Thread mailing list, I found that the Connect action of Mabry Mail control was not connecting. I finally decided to put a DOEVENTS before the Connect. That solved the situation.
I first tried with _vfp.AutoYield=.F., but in this case, it was not changing anything as no event was active.
I concluded the process was doing too fast - the powerful speed of Visual FoxPro. :) So, by putting DOEVENTS, this seems to have fixed the problem.
Now, the control works and I am now able to send 100 emails per minute as oppose to 35 emails per minute with MailX. BTW, for those of who who were wondering about MailX, they are up and running again. After 6 months, the site is back online.