Marc Féret informed me (already a while ago) that the Nagios plugin check_mysql_slavestatus, which is used to check the status of MySQL replication, doesn't check the value of 'Slave IO Running'.
In some circumstances it is possible that 'Slave SQL Running' is set to Yes (which is checked by the plugin) but 'Slave IO Running' is set to No or NULL.
To prevent this situation, he contributed another check to the plugin, which does the check for 'Slave IO Running'.
The new version (2011122700) has been released. Thanks, Marc!