Thanks for the replies.
I tried to add an excessive amount of struts, but it didn't work. It looks like any decoupling action in previous stages triggers something in the winch that makes it move violently destroying any strut. Without any strut, sometimes I can see the whole rover+crane flying out of the fairing. The Kraken never fails!
I also tried a different construction, by having the skycrane initially attached to the rover via a decoupler, and then I activate the winch to connect it to the rover. However, the cable goes through the rover like it didn't exist.
I wonder how this this guy did it?