haz un debug a D3DXMatrixLookAtRH seria algo como

D3DXVECTOR3 forward = eye - at;
float forward_len = D3DXVec3Length(&forward);

D3DXVECTOR3 cross_test;
D3DXVec3Cross(&cross_test, &up, &forward);
float cross_len = D3DXVec3Length(&cross_test);

OutputDebugStringA(
    ("forward len = " + std::to_string(forward_len) +
     ", cross len = " + std::to_string(cross_len) + "\n").c_str()
);

Si obtienes:

forward len = 0.0   → eye == at

o

cross len = 0.0     → up paralelo a forward

Creo que ya encontrarias el problema. espero haberte dado una pista. un salud.