This feels like a bug because it is totally confusing as a user that you can’t add rows when applying multiple groupings. You simply don’t get the + icon on the last row.
I eventually figured out that I had to get rid of the other level of grouping so I can add records, but now I have lost the structure I was trying to use to organize my sheet. I have no idea why this isn’t supported, but it’s pretty broken in the current implementation.