Buddies menu -> show -> offline?

No. It doesn't work this way :)
First I had to "hide when offline" (on this group), than "show when offline", and at this moment it can be expanded. Not before.
My guess: new buddies are placed in this group with "hide when offline", disregarding setting at group level.

I'm not sure I get what you mean. Showing offline buddies globally works for me. In what way it does not work? Or are you saying you found some other solution?

I have "Buddies (0/0)", so I cannot expand it.
:Loop
Then I get "Buddies (0/1)", so I should be able to expand it (clicking on [+]). But it doesn't work. I have to right-click "Buddies" group title, choose "hide when offline", than "show when offline".
Then I can expand it. I right-click on new buddie, "move to" another group. So group is "Buddies (0/0)".
Then next person accept me at facebook... Goto Loop :)

I think new placed buddie should get attribute "show when offline" - from "Buddies" group level, so this procedure should work:
"Buddies (0/0)", so it cannot be expanded. Right click it, "show when offline".
:Loop
Then I get "Buddies (0/1)", and expand it. Right-click on new buddie, "move to" another group. So group is "Buddies (0/0)".
Then next person accept me at facebook... Goto Loop :)

There are relevant changes in 0.9.5, not exactly intended to address this, but may help.

https://github.com/dequis/purple-facebook/releases/tag/v0.9.5-9ff9acf9fa14