Serbia and Montenegro still appears in the list of countries on Geonames. However, it split in 2006. Serbia on one hand and Montenegro on the other hand are "independant political entities".
So I think "Serbia and Montenegro" shoud disappear...
It has been deleted from the main database, it is only included in the file countryInfo.txt for reference. There is also a remark in the file that the country no longer exists. It is somehow consistent with the file admin1Codes.txt that also includes fips codes that no longer exists for reference.