OK, I made a simple test project now. interestGroupTest.capx
Data I send shows up for the other client despite having set different interest groups via the Change groups action.
It does however work If the interest group is directly set in the Raise event action (unless it is set to 0, then it will send data to every group again for some reason)
Image from MMO Concept for terminology.
If I'm not mistaken how I understand it right now, the only possible way to get interest groups working is by
using (construct) events to loop through a list of ID's (regions) that are in the interest area of the player
and use the Raise event action to send data for each ID (region) individually,
this would render the Change groups action useless though.