I had to google "cash out curse".
No, I don't believe it.
The reason I don't believe it is because "punishing" players isn't doing the poker rooms any good. If the goal is to stop them from withdrawing cash, then the "cash out curse" needs to be commonly known to be real for it to work as a deterrent. If it remains a myth, no one's going to stop from cashing out. So from that point of view, it doesn't make sense.
Now, regarding cashing out and then going bust, consider what you've just done to your
bankroll at that site. Quite possibly you've gone from, say, $300 to $100. If you still play $1-$2 limit, or so, you no longer have the bankroll to withstand the swings. By cashing out, your buffer for "not going bust" has been (potentially radically) decreased. Therefore, your risk of going bust increases. Therefore, people who cash out will go bust more often than people who do not.
... In my ever-so humble opinion.
Edit:
Found this:
http://groups.google.com/group/rec.gambling.poker/msg/aff054bc065303a8
