Crazy with callbacks

I think it's because you're setting the error message OUTSIDE of where the actual validation rule (username_check_exist) is defined.
In your auth:

PHP Code:

public function username_check($username) {
    $account = $this->load->database('account', TRUE);
    $account->where('login',$username);
    $query = $account->get('account');
    return ($query->num_rows() > 0);  //returns TRUE/FALSE
} 


In your controller:

PHP Code:

public function username_check_exist($username) {
  //set the error message for THIS validation rule
  $this->form_validation->set_message('username_check_exist', 'L´username è già utilizzato.');

  //just return result from auth::username_check(), which will be true/false
  return $this->auth->username_check($username);
} 


I change the auth and controller with your code, meanwhile, I thank you for your time that you're offering me
And now I can tell you that is not working.  It does not display the error and still launches the query 

As absurd thing. All other rules of the same field are used properly