Hej!
I believe this to be a regression, but I could not identify exactly when it got broken.
To verify:
Go to the CheckboxGroup documentation page.
Change theme to Svalbard (if not already set). Note that selected checkboxes are blue.
In the LiveEditor frame, click the palette button and choose any colour from the picker.
Expected result: all selected checkboxes in the group change colour to the selected one.
Actual result: selected checkboxes remain blue.
Since the RadioGroup widget works as expected, I assume this is a bug in the CheckboxGroup rather than by design.
Tack!