First, make sure you have done a list update.

1. Go to your Chat Monitor settings, either by clicking on the icon (Visible Mode), or using your Hot Key combination (Stealth Mode).
2. Click on the "File" menu and go to "Update Software"
3. Go through the Update Wizard

If you see ICQ chats containing "This message may contain unsupported text", this is the Direct Connect Feature of AIM and is usually a file or a picture. It uses binary characters which cannot be recorded by Chat Monitor.