No, some hosts may choose not to display groups at all and may display a single flat list. Lots of the more well-known hosts support groups in some capacity though.
Different plugin formats have varying levels of support for parameter groups. As an example, AU plugins can only understand a single level of nesting. In cases where the requested grouping is unsupported by the plugin format, JUCE will automatically flatten the parameter groups using the provided separator to demarcate the inner groups. There’s some more information in this thread.