It's simple. For a common-mode filter to work, both the top supply and bottom return currents have to go through both filter connections.
If you have ground connections at the common-mode filter outputs then the bottom currents will go through the ground connections and not through the filter, negating the common-mode filtering effect.
So for the common-mode filters to work you have to remove all the ground connections to the right of the left-most filter.
Make sense?