In deploying to a new (Solaris 9) environment recently, one of the steps was to copy a set of files and directories to their new location and then to apply the group UID bit (us
To expand on your specific problem a little, it has already been noted that sgid executables can cause problems by granting users permissions they don't normally have. While this is an issue for any executable, it creates a potentially-exploitable race condition in the case of scripts (specifically meaning "files which execute by means of an external interpreter identified by a #! at the beginning of the file") which can be used to execute any arbitrary code with the script's permissions.
Unix deriviatives have implemented a number of schemes over the years which are aimed at mitigating or eliminating this vulnerability, most of which have included some form of prohibiting the execution of suid or sgid scripts entirely or requiring you to jump through a few hoops to enable it (usually on a script-by-script basis). One such scheme would be the cause of your inability to run the scripts after turning on their sgid flag.