I'm a bit late to the game with this, I know, but I actually used Macfusion today for the first time since upgrading to 10.6 and was nonplussed to find that it wasn't even *trying* to connect.
This post explains how to fix things, with the exception of stipulating that you need to kill the agent as well. It will look something like this in a process listing (ps -xw):
/Applications/Macfusion.app/Contents/Resources/macfusionAgent.app/Contents/MacOS/macfusionAgent -psn_0_6
I just kill -9'd that sucker, although more gentle ways of killing it might have worked. Either way, it was insufficient for me to merely exit Macfusion.