We actually heard about this little issue from our own Jay Bennett, but others have taken note as well. In short, when using the Group Messaging feature in Mango, by default the messages will use the MMS format instead of SMS. The reason for this is not too clear, though it has something to do with trying to keep all the messages grouped together in a thread (perhaps someone with more knowledge can explain in comments).
However, you can (and probably should) turn this off. Like a lot of folks, you may have a limited monthly allotment of MMS messages and you be charged a ton for a 'few' conversations otherwise. To disable this feature, simply go to Settings --> Applications --> Messaging and turn off the MMS part. So what about Group Messaging? Well, as far as we know, it still works but will now use the SMS method. Only downside, which we have to verify, is that it might not group properly. Still, that's a small inconvenience versus a large, unexpected bill at the end of the month, no?
Big thanks to 'We Love Windows Phone' for the tip and screen shots.