Thanks for fast reactivity PaulS 
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?
That's exactly what i do :
I program each module on USB explorer and all go well and find.
Each module give me a succes communication and feedback like +++ and all on USB explorer.
So after that, i place one of module on the shield...but nothing work on it like on USB explorer.
I'am thinking first i dont need to remove arduino chip ifi just use it normaly (no programing so i keep the chip in place.
This is wrong, then. Each module needs a unique address (that the other one knows about).
So i guest my problem is here :
For now each module be seted like this :
PC Settings
Baud : 9600
Flow controle : NONE
Data Bit : 8
Parity : None
Stop Bits : 1
API : Not enable
Modem Configuration
XB24-B ZIGBEE COORDINATOR AT 1020
I never play before on all settings in Modem Config.
i try several time to READ/RESTORE/ and WRITE for restore and install last version on both.
So i'am very curious to know how i can set different adress.
Note then when i get modules first day....all be work on shield but for some reason after an update (same version) nothing work anymore on the shield.
I'am be little confused to about RX/TX/Digital pin on the shield and amega/usb switch but all is good
my pin is set like this :
and the switch on the shield is set to : USB.
Any solution?