I had the same kind of problem with my 03 S - it would pop out, or not fully engage in 2nd gear, often when cold, but usually as a result of not really firmly pulling it completely into 2nd gear. So long as I consciously thought about it when shifting up or down into 2nd, I'd be alright, but it's get me when I was thinking about other stuff and not paying complete attention.
Anyway, I just bought and installed the GBox 2nd gear detent upgrade, and it's completely taken care of the problem. I had no way of knowing if my tranny had any kinds of serious issues, but I took a chance, and it feels perfect, and I haven't had a problem since the install. Everything seems perfect - knock on wood.
Just wanted to let you guys know...
Pat
