Guys, it *does* work. It just does not work reliably. It depends a lot on your position within the formation at the moment the formation breaks up because the NPCs have jumped (or disappeared, it doesn't really matter which). It's just generally not worth bothering with for those times you are not in the right position and you get turned away from the gate because not only did you not jump with that group, you are also not in line to jump and you may have to wait on *another* group to go through.
"If they don't actually jump, how come you can see them get interrupted when travelling through a trade lane?"
Because this discussion is not about trade lanes, it's about jump gates. Think "New York -> Colorado" not "Pittsburgh -> Fort Bush".
This issue comes up because a very effective way of running your freight alone along trade lanes is to group with an NPC convoy going the same way-- that way if the trade lane is disrupted you can often count on that convoy's escort for defense. The complaint is that this very same technique does not work for jump holes because 1. Your formation often gets broken from the convoy as it enters the jump hole and 2. That convoy won't be there on the other end of the jump hole because, supposedly, they don't really go through....
... which is kind of a bummer because it would be nice to be able to run a freighter in long distance freight convoys in SP, rather than going it alone and having to play your freighter as a fighter.