Group by location fields

I'm trying to get a view using the HTML List style to display results grouped by province using node location (not a CCK field). The wanted result is the have a list like this:
Province 1

• item 1
• item 2

Province 2

• item 3
• item 4

The "location: province" field has been added to the view but excluded from display. In the style parameter, I've also selected the field as "group field". But each list is its own group like this:
Province 1

• item 1

Province 1

• item 2

Province 2

• item 3

Province 2

• item 4

I also tried to group by city or country with the same result.