I'm having a very similar problem to Nexnox.
I have a circuit that has three MAX7219's chained together, using a 24K resistor as RSET. I'm testing with an Arduino Pro Mini and a Sparkfun Pro Micro, with power coming from a 7805 regulator. Everything works great when using the Sparkfun Pro Micro (which takes a couple of seconds to initially boot up), but with the Arduino Pro Mini (which boots up instantly) only the third MAX7219 fires up. When I press the reset button on the Pro Mini everything works fine.
I will try increasing the RSET resistor to see if it makes a difference. Are there any other suggestions?