Hahaha, looks like posting made me thought about the problem. I'm under XNA and I'm making an editor. I just remember I had to put the attribute STAThread. So, after comparing the 2 program.cs, I found out that there was a missing line that 6-7 month ago didn't made sense to me, but now reading it, make all the sense in the world:

Code:
Application.EnableVisualStyles();
So, seems like the styles are related to the groups in the ListView.