The second sentence - which I presume is the original sentence - is OK apart from the unnecessary use of the past perfect. It would be more normal to say "I should have ended the relationship with her when I sensed clouds on the horizon." When one thing happens as a result of another, we use the past simple for both verbs: the past perfect sounds very unnatural in this case. The first sentence - which I presume is someone's attempt at paraphrasing - is awkward for a number of reasons. 'Started happening not in my favor' sounds very awkward: the concept of 'starting not' is difficult to understand, and it's not clear what 'happening in my favor' means - this is not a standard idiom. If I've understood the intended meaning correctly, possible rewordings of this sentence might be this: "I finished the relationship with her when things started going badly for me" or "I broke off the relationship with her when things stopped going my way". Note that none of these ideas have the same meaning as 'sense clouds on the horizon', which is prediction that problems are going to arise in the future.

1. I should have stopped the relationship with her when... "things had stated happening not in my favor" < This sounds a bit clumsy. Try: "...when I realised things were not going my way." "..not in my favor." would be more suitable for a situation, rather than a process; as you used "started happening", this suggests a progressive series of events, or, a "process". 2. I should have ended the relationship with her when I had sensed clouds on the horizon. > Just remove the "had", then it sounds fine.