This is an over 1 year old issue.
Sorry but I think there is a great chance that this is by design because if I rembember correct a group page will ONLY look for a 'real' page and show it. Sadly this page must be on the right level or it will not work
I have heard from Telerik over and over that is by design. I keep repeating myself that this is BAD Design.
Look at the Scrrenshot
The workaround might be that instead of a group page you create a redirect page redirecting to your first extrenal redirect page.
Try to explain this to a client
Create Page A redirecting to nirvana
Create Page B redirectin to http://www.wereiwanttogo.com
Change Page A redirection to Page B
There is a PITS Issue open so vote for it and hope that finaly someone in Terlerik will consider this a bug or at least reconsider that this should be like this by desing.
Besids the issue you mentioned its also strange that
Redirect pages to external links will allways show when you set to include in navigation
Redirect pages to internal pages will only show if the page you redirect to is shown in navigation even if you tell the redirect page to show in navigation.
Lets say you have an contatct form page that you don't want to include in navigation so you set it to not show in navigation. Now you want to link to this page from multiple locations on your site. NO GOOD. Workaround. Make the redirect page redirect to http://www.MyInternalPageUrl.com
Tell this a client and that he/she will remember 3 month later.
VOTE and hope for 5.3