gsg pads
Depending on the specific GSG probe, there is some small distance before the ground conductors are connected together.
The important thing to remember is if your circuit is not symmetric about the center line, or the ground conductors (in the circuit) are not symmetric about the center line, the ground return currents will not be symmetric (except where you short them together). CPW Zo assumes the ground currents are symmetric, so you will get a different Zo and Eeff in the unbalanced regions. There was an IEEE MTT Trans paper a couple years ago about how to compensate for any imbalance (author worked for Agilent).
Also, if you measure the DUT (Device Under Test) surrounded by CPW ground strips, but then you use the DUT without the ground strips...you have two different DUT's. Depending on the specific situation, this could be very significant.
Finally, if you use "grounded" CPW (i.e., there is a ground plane underneath) and you do not short the CPW ground strips to that ground plane, you can also have a microstrip mode start propagating. Now it gets REAL interesting!