This is with version:
I sent it to GAMS for further investigation. This problem seems only to happen with the 64 bit version. The work around would be to use the 32 bit version.
MOSEK Link May 1, 2008 22.7.2 WEX 3927.4799 WEI x86_64/MS Windows
M O S E K version 220.127.116.11 (Build date: Jan 29 2008 13:47:58)