I discovered two reasons.
1. A style of the surrounding TabItem sets Foreground="White" and Background="Red", which results to a GroupColumnDesciption with White-On-White. Ok, that's not really an issue. But, why is foreground inherited and not background?
2. The GroupColumnDescription is empty (really empty and not White-On-White), when in AutoGeneratingColumns event the generating of the grouped column is cancelled. The result is the same, if you configure ShowColumnWhenGrouped to True or False.
Ok, you can say a not-generated-column should not be grouped. But it works. You can group by a not-generated-column, but without a GroupColumnDescription. In my opinion there should be a valid GroupColumnDescription, if a valid grouping is displayed.
I've attached a sample, where you can see the behavior.