Thought I read some facts on here that said it wasn't true - just a myth. Fact is that people remember when things go wrong after the award but not when they go right. Might have been Paul d's stats.
From memory I think about 50% of teams that won the manager of the month award won their next game. So, on the surface, it's not a curse at all. However, teams that win the manager of the month award must have been on a very good run, so for half of them to fail to win the following game is pretty poor.