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The following is my opinion and not an official statement by OpenStack or my employer (and I am self-employed anyway).

The purpose of server groups is scheduling. That is, they are only used when the Nova scheduler needs to find a host to run an instance. Which is at the time the instance is created (and when it is live-migrated, which I will ignore for now).

Thus, once an instance is up and running, its server group has no meaning anymore. The instance doesn't depend on the server group in any way.

Even when we also consider live-migration, there is no harm. If the user removes the server group, we can assume that s/he doesn't need schedule affinity or anti-affinity anymore, thus no harm is caused by the absence of the server group.

Contrast this with a network, for example. Instances that are connected to this network would be affected by its removal. For this reason, you can't remove a network before removing or reconnecting all instances (and routers).