I've tested this in production via this logentry (now that T344391 is fixed) and I can confirm this is still an active issue:

Inside the code there is

		if ( $userId->getWikiId() !== WikiAwareEntity::LOCAL ) {
			// TODO: Support external users
			return;
		}

which can not longer true after https://gerrit.wikimedia.org/r/c/mediawiki/core/+/944188 because the hook is now called with a User object., which is always local.
I would expect that before this change there was no notification, now there are notification on meta about the user right change on the foreign wiki (without notice about that). Both are not good situations.

Maybe the type hint from https://gerrit.wikimedia.org/r/c/mediawiki/core/+/587898 was not the best choose (https://gerrit.wikimedia.org/r/plugins/gitiles/mediawiki/core/+/493e2de56d05f543a18179245aff9be861744026/docs/hooks.txt#3763)
it does not includes the UserRightsProxy class and could not changed to UserIdentity now, but that sounds for the only way to do this.

Hook: https://codesearch.wmcloud.org/search/?q=UserGroupsChanged

Change 950003 had a related patch set uploaded (by Umherirrender; author: Umherirrender):

[mediawiki/core@master] cross-wiki userrights: Restore hook compatibility

https://gerrit.wikimedia.org/r/950003

In T344446#9099873, @Umherirrender wrote:

[...]
I would expect that before this change there was no notification

That is correct, xwiki rights changes didn't have any notification.

now there are notification on meta about the user right change on the foreign wiki (without notice about that). Both are not good situations.

Ideally, we'd trigger a notification at the foreign wiki, where it would look exactly as a local user rights change notification. But, I imagine that's not going to be trivial.

[...]

Change 950003 merged by jenkins-bot:

[mediawiki/core@master] cross-wiki userrights: Restore hook compatibility

https://gerrit.wikimedia.org/r/950003