Hi,
Sorry for the delay in replying!
Do you mean that, say, you know your friend is online on facebook (eg. he told you on msn, phone, etc), but the site does not say that they are online?
If so, then I'd say it is just because of FB's system. It seems to refresh the online list every X seconds/minutes only, unlike msn (which refreshs the online list in real-time).
Does your friend show up as "online" after a while, or he "never" shows up?