Right-click on the Group Header section and select "Change Group". Click on the Options tab. Turn on "Keep Group Together".
Keep Together on the section applies only to that section - it makes sure that any individual section will print on one page unless its too big for a single page.
Keep Together on the group applies to the group as a whole and covers all of the sections within a group. This can have the unwanted side effect of causing a lot of white space to appear on some pages, but if your groups are small that should not be an issue.
-Dell