Hm that would happen if you actually had two records in the table "Project" with a primary field value of "C".  Could you check whether that's what's happening?

Right, I have 2 records in the table Project. But in this table, the group by on the same field is valid. 

Yeap that's true.  In "Projet" when you use the Group By functionality you're grouping by the text value of "C", which gives you the result you expect

However when you're grouping by the linked field, while it's displaying as "C", it's actually grouping by the record ID of the linked record.  Here's some screenshots that help with demonstrating this:

Does that make sense?

Ok, to avoid this

I apply Group By option on a calculated field based on project field which allows to obtain the expected view