Observable.range(1, 1000)
.groupBy(v -> v % 10)
.flatMap(v -> {
    System.out.println("New group: " + v.getKey());
    return v;
})
.subscribe();

Observable.range(1, 1000)
.groupBy(v -> v % 10)
.flatMap(v -> {
    System.out.println("New group: " + v.getKey());
    return v.observeOn(Schedulers.io()); //  <-------------------------------- OK
})
.blockingSubscribe();

Observable.range(1, 1000)
.groupBy(v -> v % 10)
.observeOn(Schedulers.io()) // <------------------------------------- TROUBLE
.flatMap(v -> {
    System.out.println("New group: " + v.getKey());
    return v;
})
.blockingSubscribe();

Observable.range(1, 1000)
.groupBy(v -> v % 10)
.flatMap(v -> {
    System.out.println("New group: " + v.getKey());
    return v.subscribeOn(Schedulers.io()); // <----------------------- TROUBLE
})
.blockingSubscribe();