I've had the same issue. At first I though it was connected to the current theme I was using, but after testing with a few different themes I discovered that not to be the case. I still do not understand that behavior.
As a workaround I've used views-view-unformatted--YOURVIEWMACHINENAME.tpl.php template where you can give a wrapper to a group in a single-grouped view. Here's what I had in the template:
<?php
/**
* @file
* Default simple view template to display a list of rows.
*
* @ingroup views_templates
*/
?>
<?php if (!empty($title)): ?>
<?php
//open group wrapper
print '<div class="custom-class">';
?>
<h3><?php print $title; ?></h3>
<?php endif; ?>
<?php foreach ($rows as $id => $row): ?>
<div<?php if ($classes_array[$id]) { print ' class="' . $classes_array[$id] .'"'; } ?>>
<?php print $row; ?>
</div>
<?php endforeach; ?>
<?php if (!empty($title)): ?>
<?php
// close group wrapper
print '</div>';
?>
<?php endif; ?>
You can even assign a custom class to each group by taking a certain field from $view object and transforming its value into a class name.
Of course, this method will only work for a single-grouped view. If the view will be grouped by more than one field, only the most inner group will be wrapped. Hope this helps.