In version 8

You need to override the function read_group like this:

@api.model
def read_group(self, domain, fields, groupby, offset=0, limit=None, orderby=False, lazy=True): 
    if 'state' in groupby:

        orderby = 'state ASC' + (orderby and (',' + orderby) or '')

    return super(trobz_crm_lead, self).read_group( domain, fields, groupby, offset=0, limit=limit, orderby=orderby, lazy=lazy)

Note that in case you need to order on a field many2one, the default order by field of the model will be used. However, the ASC/DESC is ignored so you will need to use a similar way as above to force the ASC/DESC.

@api.model
def read_group(self, domain, fields, groupby, offset=0, limit=None, orderby=False, lazy=True): 
    if 'state_id' in groupby:
        orderby = 'state_id ASC' + (orderby and (',' + orderby) or '')
    return super(trobz_crm_lead, self).read_group( domain, fields, groupby, offset=0, limit=limit, orderby=orderby, lazy=lazy)