You are correct. Since grouping is done solely on the client, it is done only on the current page.
Unfortunately you can't achieve what you describe. As I mentioned earlier, WCF RIA Services simply does not support grouping and there is nothing that we can do about it.
So you have to:
A. Either pull all data on the client in order to have "real" grouping, which will effectively make the client-server approach useless.
B. Turn off grouping and have paging, thus pulling only one page at a time.
Expressed in other words, you will have to make a tough choice between paging (i.e. very thin client) and grouping.
I hope this makes sense.
the Telerik team