I'm stuck in Level 2 where I suppose to get a Air Scepter from the air elemental. But I see nothing after I killed them all, the greater air elemental just gives me nothing... I've used TAB to search... is this some kind of bugs that prevent it from dropping?

I'm stuck... I killed the Snake in slime room, I can see the Slime Scepter. The Icy things just immue to my attack... so I must find the air scepter to go on...

What should I do now?

Look on the ground, the scepter look just like a staff when you look at it on the ground.

At first I looked everywhere for it too, then I became desperate and picked it up. That is how I found it.

IIRC the main monster of the air room is some kind of Invisible Stalker, not an Elemental.
Lurk around a bit in the air library or the air room. It should attack you eventually.