HI,
Several possibles on this but most likely to be one of two.
1) In Messages > Preferences > Accounts > any AIM Account's Account Info tab
In this is a tick box for "Recent Buddies"
This is only held on the server and is people you have chatted to but are not in your Buddy list.
It says "Recents" but it fact it will hold the complete list on Non Buddy List contact you have ever had.
In earlier version of iChat you could Right Click the Group's Title bar and remove the Group
You also used to be able to remove the group using AIM for Mac. (presumably AIM on a PC as well if you had one).
This "Ability" seems to have disappeared more recently from later versions.
2) Another computer is On and signed in to the Buddy list you are trying to amend.
Due to the nature of being "Always On" the second login will reinstate what the first is trying to delete.
This could be:-
A) another login via iChat or Messages on another Mac
B) An iPhone or another computer using an App capable of logging into the particular server therefore maintaining a connection.
Ci) A Login via a Website either on a Computer or a Smart phone or similar.
Cii) This can complicated by the fact that some web Logins have a "time to Die" feature.
Google's Login can be two weeks if you do not specifically Log out. AIM has a similar period for web Logins.

8:55 PM Monday; March 18, 2013
iMac 2.5Ghz 5i 2011 (Mountain Lion 10.8.3)
G4/1GhzDual MDD (Leopard 10.5.8)
MacBookPro 2Gb (Snow Leopard 10.6.8)
Mac OS X (10.6.8),
Couple of iPhones and an iPad
"Limit the Logs to the Bits above Binary Images." No, Seriously