It's because of the query form you're using. Please read the blog post I referenced above, it's discussed in there.
If you want a test that will show that putting the group by column as index key is better, use a query with an equality predicate. This is why I said it's very dependant on the query form and the index.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability