I would imagine that to be more of a glitch than anything to do with cheats, there are only a few cheats that adversly conflict with a mission.
Originally Posted by m52nickerson
1. Can’t finish a mission glitch
There are some missions in SA that can pick up a glitch which makes that mission impossible to beat. One example of this is in the mission Mad Dogg. Mad Dogg will jump before you can possible save him.
Cause: Saving with cheats on, especially cheats that affects peds. Example, the ped riot cheat. Other cheats that affect the game play in some way may also cause a mission glitch.
Possibly meaning that you can start a mission, something odd happens to make it impossible, but making a mission icon dissapear is something else.