do you understand Portuguese? I can't speak Spanish, so either we speak Portuguese, or English. Anyway, I managed to read and "understand" your problem. First question anyone (me) will ask is: which version do you have? 0.95, 0.96RC or SVN? The second thing people will tell you is to grab the latest SVN and if the problem persists, report it back. About the X, as far as I can tell it's probablly because you are using outdated aMSN (I'm guessing 0.95). Updating should fix that. If it doesn't, then it probablly some server issue because aMSN get's that info from the MSN server (reverse list).
About the out of Group contacts (now using latest SNV), right click them, and check their properties. There are Tabs (on top), one says "Settings" (the second) and in the middle of the window there is a container with Square Boxes (checkboxes) called "Groups". The problematic contacts are inside some Group?
You should also try the 3 modes of displaying groups and users, to see if any of them suits your needs: go to aMSN main window, in the second menu ("View"), you have "Sort contacts by Status", "Sort contacts by Group" and "Sort contacts in Hybrid mode". The last one is my favourite. It's the same as in MSN grouping contacts and also grouping Offline contacts. Give it a try, if you need help, feel free to check back.