I accept that others have tested and found that everything is created on FG1.
>> from SQL 2008 BOL
If CLUSTERED is specified or the constraint otherwise creates a clustered index, and a <partition_scheme> is specified that differs from the <partition_scheme> or filegroup of the table definition, or vice-versa, only the constraint definition will be honored, and the other will be ignored.
I read that and figured that both would be created on FG2, that is, the filegroup specification on the clustered indexed is ignored.
But looking at it again, it could be read either way ...