I know that doing groups with multiple columns is tricky business. What I've done is create a regular report first and go to the Section Properties and enable the multiple columns property. Then I add the groups to it. This works best for me, but you might need something a little different since you are showing the Details section. Another idea is to use the Report Wizard to create a mailing label report. Even though they sound the same, behind the scenes CR will format the two reports differently. So this might improve your grouping issue.

Try this and let us know what happens.