Ok the reason is that the compound path object can not have structure. So it seems that being able to group at all is a bug caused by unpacking the compound path for editing. So technically you shouldnt, most probably, be able to do this at all.
Reason for this is that the compound path object does not have internal structure that would allow grouping. They would need to change the primitive to allow this. This would have some deep comsequences.
- Currently compound path mimics the structure in both SVG and PDF specification. Which also dont allow structure in the compound path.
- This would neccesitate building a wrapper class on top of the engine. This would also mean that you would need a mechanism to expand this layer.
- For all intents and purposes this interdiction layer does exsist in the form of live boolan operations (holding alt, option or somesuch in pathfinder for live operations just release and do live boolean). Its support for grouping is a bit limited though.
- It would make illustrator harder to use. All of the indirect tools on top of illustrator are badly understood by users who in general just want direct modeling (but with all the benefits of the indirect modeling).
- Point 4 in turn would mean re engineering illustrator. Since if you go indirect route then there is no good reason to preserve compound path object at all. It would be asy to design so that neither clipping paths, nor compound path objects are needed as first class objects. Doing this would make alpha masking, knockout geometry etc fit better in the overall design.
Anyway, since Adobe is trying to reengineer the system for better indirect support it may be that what you are asking is a effort towards that and this may in fact be a implementation oversight. But just as likely you should not be able to group at all.