Cassp it's no problem at all to open with mediaplayer assigned or not does not matter.
Recent updates from media player are causing lot's of problems in "other" software.
Secondly it often stays resident active in the background after closing eating lot's of resources....
I don't know if you have automatic updat switched on?
In that case something might have changed without knowing!
There is a patch for the Sonar versions but I doubt if that will work on Cakewalk.
Now, I don't say it is the solution to your specific problem, but it's just a few mouse clicks away, which is reversable so no problem to try out..
By the way cakewalk does play midi files
and lot's of other players too..
Reinstalling is quick so that would be the first option indeed.