This seems to already be somewhat discussed in this list, but not more
than "? -- no" (my apologies if I missed a more informative posting).
Setting the mac address appears to partially or totally unsupported for
ndiswrapper cards. First of all, I take issue with statements that there
is some unequivocal lack of need for this: think privacy, access points
with vendor-specific extensions which don't record your mac in its
appropriate class, misconfigured access points that only accept the mac
address of a card which doesn't exist, testing the security of various
wireless networks, etc. That being said, this is obviously much lower
priority than "does it work at all?" which seems to be most of what you
are dealing with now. In the interim, perhaps an appropriate response for
the driver would be to totally ignore attempts to set the mac address, as
hardware which doesn't support the operation would. Figuring out why the
network isn't working after a setting appears to be successful could be a
problem for users who don't have very good debugging abilities. Note also
that setting mac address may not be a completely oddball custom-script
thing to do, depending on the distribution (Gentoo has a configuration
setting to randomize part or all of a mac address).
P.S. Let me know if I should file this as a bug report instead, or
anything else I can do to help.