If in the Administration->General->GUI report option "remember selected" is not selected, then host group will be NOT added automatically to the list of host groups in the host conf form when creating new host.
I think that this is incorrect behaviour, this setting should affect only the following thing: will "All" appear in all Host / Host group drop-downs as first possible entry or not.

Has been checked in 2 trunk revisions: latest rev # 24951 and rev # 24478.

The same problem exists when creating templates in the "Configuration->Templates" report.