What you’re trying to do: see Tasks and Sub-tasks grouped by Project in the ‘My Tasks’ view.
What you’ve tried so far: grouping ‘My Tasks’ by Project.
What’s not working or confusing: Sub-tasks show up under ‘No Project’ even though the Projects column clearly displays the project that each sub-task came from.
The apple doesn’t fall far from the tree, and the sub-tasks are still part of the Project!