When copying a print format already ordered - the report wizard is not saving properly the new definition of the sort/grouping column.
I've seen the behavior twice in custom print formats, the test case is like defining a print format with an order/grouping column, copy the print format and try to change the order/grouping column. The result is a report where the grouping is not respected.
Probably the report wizard or MPrintFormatItem needs to clear the orderby and grouping flags when the field is not being displayed.
reopening - Heng Sin found issues with this ticket - not consistent behavior between sort tab of report wizard and sort tab on print format window.
In order to fix this is suggested to modify the report wizard to be consistent with the print format window, this is, showing all items on sort tab, the grouping tab is probably affected too