Hello! 

I've a problem when I import some objetcs from 3DXchange about the scale.
With some objects I can change the scale, and with some others I can't...! And I use the same options to export in 3DXchange...

This is a screenshot about a knife that I wanna "shrink". But when I do that, it only change the axis, and not the size. I don't understand why I've that problem with only some 3d models... 

I hope someone can help me! Thank you in advance.

Sometimes you have to get rid of extra pivot nodes from the object. And sometimes you do not even see them in 3DX.
Just export object to OBJ from 3DX and then load that OBJ back to 3DX and then to iClone. See if that helps.

Oh well, you are screwed

Regardless which 3D editor you are working with (assuming it is Blender), there is GOLDEN rule when you have to export to FBX and specifically when attaching mesh to armature.
Before attaching to armature, you must reset Scale, Location and Rotation of the object as well detach it from any Pivot nodes (Empties in Blender).
It has to be just a mesh with Origin/Pivot Point preferably located at 0,0,0.  But the Scale reset is the most important.
In Blender it is CTRL+A in Object mode. Otherwise, it might work in some cases, but in most of the other cases you'd have a lot of problems with prop which was not originally reset.

As you said, you cannot take that prop to OBJ because of the bones, so you'd have to take it back to 3D editor as FBX, detach from the armature, properly reset, re-attach, weighted and export again.
Once in iClone you can change the Pivot as you wish and it would be just fine.