Maybe that's the problem. It's never worked. I assumed that what was happening was expected behavior. BUUUUTTTT when I tried grouping some local Word files, saving the group, and restoring, VIOLA! they were grouped.
So, I think you're right that the problem is that the files are on my OneDrive. Can you think of any work-around?
Edit: I should add that I really need to keep those files on OneDrive, so storing locally is not an option for me.