Hi,
What you need to do is

      setvar hperrstolist false
      setvar hpmsgfence 1
      listfile  (!fileset),6 > afileset
      setvar hperrstolist true
      setvar hpmsgfence 0

       If there are no qualifying files, afileset will have an eof of zero,
       and there are no warning messages displayed.
       The hperrstolist variable controls whether or not the CI
       displays command errors to the stdlist or stderror,
       so setting it false means that you only get filenames
       in 'afileset'.
       The hpmsgfence set to 1 means that warning messages
        do not get displayed at all.
        So thats two ways of suppressing unwanted output in your
        file, but using the hperrstolist is the better one.

Try it.

Rgds, Tad.

ps. You can reduce no of lines in the above with :-
setvar hperrstolist setvar(hpmsgfence,1)=0
listfile (!fileset),6 > afileset
setvar hperrstolist setvar(hpmsgfence,0)=0