Ok i only looked at the generated shadow host config. There is no explicit hostgroup section. The CMC extracted the group names automatically from the shadow host config.
It is working 
Inside the shadow host config you can search for on host and you should find the “custom variable” → “FILENAME”. Here you see the complete path to the host.mk for for this host.
Example
FILENAME: ‘/wato/server/dmz/hosts.mk’
If you now create a wato folder with only “server” as name and one with “dmz” as subfolder you should see the shadow hosts inside this folder inside CMK.