The rules-as-written covering this are ambiguous. Here is how I read them and why.
In savage worlds, "group" is most often used as a technical term for a group of Extras. So, the heading "Stealth for Groups" (SWEX, p. 12) in the Stealth rules might only be intended to apply to groups of Extras. This is somewhat supported by the fact that it uses the term "group roll", which is a reference to a mechanic that only applies to groups of Extras (p. 57).
If we work with that seemingly-reasonable assumption, then that just means that Savage Worlds doesn't offer any special rules for a party of PCs using Stealth together. A GM could apply the Cooperative Rolls rule (p. 57) and let other PCs "help" the main sneaking PC, but in most cases (as you point out), this would be silly.
The only circumstance in-game that I can imagine it making sense to allow Cooperation with a Stealth roll is when one PC is trying to sneak forward or away, and the other PCs are using their knowledge of Stealth to create a bit of noise in other places to distract the opposition from noticing the "real" target sneaking away.
Otherwise, as written, the rules don't make any special allowances for parties of PCs sneaking together. Hence, the usual rules would apply: everyone makes individual Stealth rolls and the group takes their chances of the loudest or worst-rolling PC giving away their position. (Personally, this strikes me as appropriate motivation for un-Stealthy PCs to hang back and let the Stealthy PCs do the infiltration work, when they can.)
Apart from the rules as written, there are all kinds of house rules you could come up with. Personally, I'd just go with letting the least Stealthy PC roll for the group: that gives better odds than having everyone roll (because the Stealthier PCs could fail, too), but it doesn't give as good odds as having the most Stealthy PC roll, let alone the much better odds of having the most Stealthy PC roll and get help.
Odds aside, the advantage of having the least-Stealthy PC roll alone for the whole group is twofold. First, it puts the pressure on the group to make sure un-Stealthy PCs aren't tagging along on infiltrations unnecessarily—if they bring along Stumbly McNoisefoot with a Stealth d4 when trying to sneak into the bandit camp, they're choosing to make their roll on a d4.
Second, it puts the gamble and drama right where it intuitively belongs: with the PC most likely to give the sneaking group away. Everyone is going to be hanging on that one roll.