Nope, I did not set any order to any characters except for those undefeated ones, I set them to order=0
I can't remember where it suddenly stop, I did not count it IIRC, the last time I played, it was going to load the next character to fight in the team, I can't remember who is it. Right now, I am still trying to play through and see if that sudden shut down occurred again.
For certain character like what Ryoucchi have said, performing certain move of the character will also cause Mugen to sudden shut down. For my case, it is Kamekaze's MVC2's Ryu where after I have fought with 30 stages in Arcade Mode, I went to training mode, picked his Ryu. When I perform his normal Ryu to Evil Ryu mode and does his Messatsu Gou Hadouken, Mugen shut down. I reported the problem to Kamekaze before in MFG Forum, but he had no idea how does this problem occur. Some Mugen characters can be weird