Could it be down to the frameworks / imports / modules each of you are using?
I don't know, I guess so. Having said that, I'm pretty sure I've compiled the same program twice ( albeit with a few changes, but no changes to framework, import, modules ) and had one exe which upx'ed and one which didn't.
But if it's remotely possible, here's my list
Framework brl.d3d7max2d Import brl.freeaudioaudio Import brl.linkedlist Import brl.math Import brl.oggloader Import brl.pixmap Import brl.ramstream Import brl.filesystem Import brl.random Import brl.retro Import brl.pngloader Import brl.graphics Import brl.system Import brl.freetypefont