avg resident shield alert problem

I did a full scan with AVG, and found no virus.

Now if I scan with Malewarebytes or other ones, avg resident shield alert pops up saying it found some.

why didn't AVG found it in the first place?

You have been an Ozzu member for awhile and you've seen many Hijack This logs with a virus and an AV program running side by side. The AV program didn't have a clue that the virus was there.
By time they add the virus signature to their database, hundreds or thousands of PCs have been infected. Don't depend on AV. I use MJ Registry Watcher to lock the registry. A virus can't get in and it doesn't matter if I know that it exists or not.