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No. You can easily jump around between groups and even run the heats out of order. Just make sure to verify that all heats have been run before starting a new round or viewing the standings.

With GrandPrix Race Manager V8.0 and above, you can use the Master Scheduling feature (Pro Version) to collate all the heats from the group schedules into a single race schedule. This helps keep all racers more involved in the race and not waiting around for their group's turn to race.