I had a similar issue a while ago while I was employing NetGroups in a project and discovered this frustrating, less-than-documented problem too.
Happily, it turned out that "NetGroup.Connect.Success", "NetGroup.Connect.Failed", "NetGroup.Connect.Rejected", and "NetGroup.Connect.Closed" are all received via event on the
NetConnection object, not the associated
NetGroup object.
My guess as to why Adobe did this was because these are initial connections that are being mediated by NetConnection. Once connected, the data transport is done through the NetGroup (which technically doesn't exist until connected).
Hope this helps!
Patrick