But when i try Test/Query each module from Xbees Dual Shield, nothing works.
It is so much easier to use the USB explorer to configure the XBees. Then, put them (or it) on the shield on the Arduino.
Did you remove the AtMega328 chip from the Arduino (clone) before trying to configure the XBees on the shield?
Each Module have same config.
This is wrong, then. Each module needs a unique address (that the other one knows about).