Hi @Benedict Luu,
I have the same situation in my environment as per my test. I am not sure this is an expected behavior or a bug because I didn't find any official MS article which explains this. I would suggest you directly contact Microsoft if you want to figure it out.
Personally, I completely agree with you. Since adding groups as site owners is allowed in SharePoint Online, they should be able to be designated as site owners when creating a site. Thank you for bringing things to our attention.
Thanks.
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