I am sorry to hear you are experiencing this problem. It can be difficult to tell whether you are dropping the column title on the Grouping bar correctly depending on the skin you selected in the Web Part tool pane. When you click the column title you want, then drag the cursor a bit. You should see a semi-transparent image of the column title bar floating with the cursor. This lets you know that you are dragging the column title. To determine whether you are dropping it on the Grouping bar correctly, make sure the pointer of your cursor is in the middle of the Grouping bar when you drop it. It should look like this if your skin is set to Office2007:

It can also take a few seconds for the column title to show up on the Grouping bar after dragging and dropping it. This feature works best if you are a little slower with the dragging and dropping part.
Let me know if that works for you or you still experience the problem.
Thanks,
Dani Pfettscher
Bamboo Product Team