Overriding views-view-grouping.tpl.php when grouping by only one field
I've had the same issue. At first I though it was connected to the current theme I was using, but after testing with a few different themes I discovered that not to be the case. I still do not understand that behavior.

As a workaround I've used views-view-unformatted--YOURVIEWMACHINENAME.tpl.php template where you can give a wrapper to a group in a single-grouped view. Here's what I had in the template:

&lt;?php

/**
 * @file
 * Default simple view template to display a list of rows.
 *
 * @ingroup views_templates
 */
?&gt;
&lt;?php if (!empty($title)): ?&gt;
    &lt;?php 
        //open group wrapper
        print '&lt;div class="custom-class"&gt;';
    ?&gt;
  &lt;h3&gt;&lt;?php print $title; ?&gt;&lt;/h3&gt;
&lt;?php endif; ?&gt;
&lt;?php foreach ($rows as $id =&gt; $row): ?&gt;
  &lt;div&lt;?php if ($classes_array[$id]) { print ' class="' . $classes_array[$id] .'"';  } ?&gt;&gt;
    &lt;?php print $row; ?&gt;
  &lt;/div&gt;
&lt;?php endforeach; ?&gt;
&lt;?php if (!empty($title)): ?&gt;
    &lt;?php
  // close group wrapper
    print '&lt;/div&gt;'; 
    ?&gt;
&lt;?php endif; ?&gt;


You can even assign a custom class to each group by taking a certain field from $view object and transforming its value into a class name.

Of course, this method will only work for a single-grouped view. If the view will be grouped by more than one field, only the most inner group will be wrapped. Hope this helps.