It's actually only when you FIRST LEARN the skill that it counts as acquiring it. So the only way to have your ability crit override your Mugen crit is to pick up Mugen before learning Level 1 of your ability crit. Otherwise Mugen will always override your ability crit. Thankfully you rarely want your ability crit override your item crits, and even if you do, changing attack type usually gives you the option of having it that way.
With spells, I believe that when you level up an ability with critical it will count as acquiring it. So, for exemple, if you're playing with Illidan and you have a Mugen and you put a new level into your critical skill, drop your Mugen and pick it up again to make it the last acquired Critical.