In my experience auto-retry is most useful when doing agreed-on transfers between friends both using WinMX on some OpenNap network. In such situations, if one of the parties drops offline WinMX can successfully auto-reconnect to the network and re-request the queued files.
However, I would advise against applying auto-retry to a heap of files remotely queued from strangers. Should anything go wrong with the queuing - as often happens - the other peer will be bombarded with repeatedly failing file requests that will fill their transfer windows and tempt them to put you on their ignore list - especially if you are not there to respond to their possible messages. The comment you received
fogelbise is probably a friendly warning about this problem.
- tg