When you add a Python Component to an object, add this object to a group and spawn some group instances, the component will not run on the instances.
Test file (.blend):
http://pasteall.org/blend/index.php?id=50817
This issue is dangerous, since group are one of the best ways to organize a project and with this problem, there is no way to use components with them.
I confirm the problem.
it is not possible to use the component in instances.
Just a small follow up: The issue is fixed in 0.2.5, but now the same problem happens in 0.3 with the new Blender Collections.
So it's a 0.3 issue only now.
Another update, this time for 0.3:
It's working, but you need to activate this option in the collection object (not the instance):

As lordloki made "instance spawn" the default behaviour in 0.3 (https://github.com/UPBGE/upbge/commit/674e8ee7684c31e2dd6498831b712ea23d1f17fc), and as it is fixed in 0.2.5, I close this issue. Thanks!