Hi,
thanks!!
But I have been doing some tests and I think the reason is another one.
I set the xbee shields in USB mode, and open two x-ctu, with the 'digi API fram maker' web app, I created also the send frame as the receive one, and send it by x-ctu terminal. And how surprise!! It works!!
So, I realised that the problem is in the library or the examples, because I only tried to use them.