Welcome to the Phex forums!
If you want to use Phex with i2p, you should get i2Phex from
forum.i2p ~ View topic - I2Phex testing binary release (3.2.0.103.0 or build 0)
This is a seperate build of Phex, and when you use it, you can ONLY connect via i2p, so you are secure from errors which might compromise your privacy.
If you use the regular Phex, you won't connect via i2p, since we thought it best for our users safety and for the development process to create two seperate programs which share a source repository.
If you use i2Phex, you are connected to an anonymous Gnutella network via i2p.
If you use Phex, you are connected to the non-anonymous Gnutella network.
Please post, if you have additional questions!
Best wishes,
Arne