For me changing from Multicast to Unicast didn't solve the problem with the cross over cable.
When all 4 interfaces were plugged to the same switch it worked for about an hour then broke off. Something weird happened though. NIC 1 on Machine A couldn't see the NLB on NIC 2 on Machine B and vice versa.
Swapping the cards used for NLB resolved the issue for a while then went kaput again. I am still convinced it's a lack of compatible drivers that are causing convergence issues.
And literally, just now, having updated the NIC driver - hey presto!
Glad it worked for you! If you're able to name your NIC and current (working) driver revision, I'd appreciate it!
Broadcom NetXtreme gigabit ethernet for me.
Recent HP link for 4 Mar 04 driver- http://h18007.www1.hp.com/support/files/server/us/download/20340.html