I had this same problem in Lion and hoped it would get resolved in Mountain Lion.
It did not.
If I go to my iCloud Preferences, Mail is not checked (even though Mail seems to work fine and seems to interact properly with iCloud).
I check it and close the iCloud Preference Panel.
The next time I open the iCloud Preference Panel Mail is not checked.
Should I be worried about this?
Same for me, was you a mobile me user before icloud existed?
Retrieving data ...