Steps to reproduce:

1. Disable global scripts on Zabbix server
2. Create simple Zabbix host (kbetest2 in the screenshot) that only ping  interface IP
3. Assign the Host to the proxygroup and wait till some proxy is assigned (x-zb01-px35 in this case)
   
4. Run standard "ping" script, it returns error message that suggest that Zabbix tries to run the script on the Server (where it is globally disabled) instead of the proxy.
   
5. Now assign the Host (kbetest2) directly to the proxy x-zb01-px35 (one member of forementioned proxygroup)
6. Now the ping script works well as expected.

Result:
See screenshot...
This problem is similar to the closed ticket ZBX-24800, but now affects only proxygroups, not the proxies itself.
Expected:
Scripts are runned on actually assigned proxy from proxygroup instead on Server