I'm using bitcoin-qt 0:10
I made a purchase of a game on a website ...
When I made the transaction, I specified my change address ...
for the record, the address is multisig
1) the program said that the address is unknown (the address is on my list of receiving address)
2) he sent the change to an address that is not on my list but the program says it's my
I'm not sure about point 1. Probably because you don't have all the required keys? (because it's multisig)
Regarding 2 most probably it's a change address so it's not listed in your 'Receive' tab but it's there.
Use the command 'listaddressgroupings' to list all the addresses including the change ones.