Welcome to the new forums guys,
As far as I know, the SetGroupID method will not work in multiplayer due to the fact that when you choose your group in the client screen, the init.sqs and all the init lines of your units have yet to be executed.
This means that your SetGroupID commands haven't happened yet, so you still get group alpha pink
You'll be fine once you get into the mission (or even at the briefing), but on the player selection screen you can't define the group names I'm afraid...