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--setugids is provided by a popt alias in /usr/lib/rpm/rpmpopt, and calls chown and chgrp through the shell. However, it does not pass the -h option to chgrp (the docs only say that this is the default for chown) and so the gid is not correctly set on symbolic links. Fix: add -h option for chgrp. Also, a quick inspection of rpm 4.0 suggests it has the same problem.
Yup, there are similar problems with the chgrp -R run at the end of a %prep during build. I don't believe the problem is worth fixing because: 1) Do you really care about the gid of symlinks? If so, copy the line from /usr/lib/rpm/rpmpopt-* to either /etc/popt or ~/.popt and be happy. 2) -h is not universally supported, and there's a lot of pain in trying to factor the right flags everywhere under all possible uglixes. 3) Early versions of linux dinna support lchown(2) correctly, so it's excruciatingly painful to get a dynamic runtime test to detect whether lchown(2) is functional into the popt magic glue that performs --setugids.