Anything that might keep a lock of the file can prevent rolling from completing. For example, if somehow you had two appenders having the same file open, then you could would always fail on the rename. Is there any chance that two components (your EXE and maybe another DLL) both link against log4cxx.dll? If so, you will have two independent copies of log4cxx in memory that have no awareness of each other and could have both read the same config file and have two competing appenders attempting to write to the same file. Since they both will have the file open, neither one will be able to rename the file and rollovers will fail. The same situation would not occur with a static link since there would only be one instance of log4cxx in the application.
You could try debugging this by setting a breakpoint on the constructor of the rolling file appender and see how many times it is called and look at the calling stack. If it is only called once, then confirm where it is failing on rollover. If on the rename, check to see if any other process has a lock on the file (a backup, virus scanner, etc).
