There a number of things you must do to have this work properly
-You must use mapcycle.txt, and not maps.ini.
-You must have the core plugin, nextmap.amxx running.
-mapcycle.txt must only have one instance of each map. (it will still work, but reordering will not be correct if amx_nextmap is a duplicated map)
-make sure mapcycle.txt ends in a new line, otherwise a map will be dropped from the cycle on a server crash.
-To start the server, do not use a +map parameter. Put the map you want to start with in nextmap.txt, in the addons/amxmodx/configs folder.
Installation:
-Place "hlds_run_mapcycle" and "mapcycle" inside the root hlds folder
-Place "writenextmap.amxx" in your plugins folder and add it to plugins.ini
-Make sure the core plugin "nextmap.amxx" is also in plugins.ini
-Create a file "/addons/amxmodx/configs/nextmap.txt"
-inside "nextmap.txt", write the name of the map you want to start your server with
To start the server with map cycle recovery, use hlds_run_mapcycle rather than hlds_run, and make sure writenextmap.amxx and nexmap.amxx are loaded in plugins.ini. Do no use a +map paramater to start the server, this will cause problems. Stick the map you want to run first inside addons/amxmodx/configs/nextmap.txt.
For example, to start a TS server, you may type:
get plugin./hlds_run_mapcycle -game ts +maxplayers 12