You cannot apply font changes into the Header of the RadGroupBox at design time. At design time you can apply changes to font of RadGroupBox, but the themes are applying their font changes to RadGroupBoxElement  and override the font changes of RadGroupBox.

Workaround:
this.radGroupBox1.GroupBoxElement.Header.TextPrimitive.Font = new System.Drawing.Font("Segoe UI", 8.25F, System.Drawing.FontStyle.Bold);