When auto-creating groups at course level, there is no option to set the group membership visibility. This is different to all other group dialogs that offer the group membership visibility option. 

I consider this as a bug because it appears that this option has been forgotten. It may equally count as an improvement. 

The work "around" would be to auto-create the groups and then for each group set the membership visibility separately. However, this is only a work around for a few groups. For group numbers > 5 this becomes a tedious effort.