Hi Andre,
I can't think of anything in particular that could be happening. I have a couple Xbee Series 1 and Xbee Pro ZB modules and haven't had any troubles as of yet. If you can share a simple and short code sample, I can test it with my modules to see if I have any similar issues.
Also let me know what the firmware version is on your Netduino Plus so I can match apples to apples.
Cheers,
Steve