Remember that the delinquency monitoring system populates the delinquent "Months" and "Days" fields, changing these values whenever payments are made or other activity causes the due date to adjust on the loan account.  

By contrast, the Actual # of days delinquent value is not stored on the loan account, but rather calculated on the fly by specific reports or screen dashboards, using the current date and the next payment due date on the loan account to determine an actual # of days.  Since loans at a $0 balance are not monitored by delinquency in the daily process, the months & days field and the next payment due date will remain unchanged until some new activity happens on the loan.  So a loan account that was paid off in May of 2012 may show a next payment due date of, say, June 2012, with a balance of $0, and delinquent months/days both at 0.  But the actual # of days delinquent on that loan is still calculated from June 2012 to the current date.

(HINT: One way to exclude these loans from the Loan Information Report would be to set an additional criteria to exclude loans where the balance is less than or equal to $0.00.)