It works just fine - you have ci scripts for tests-group-1, test-group-2, and so on. You data collection will need to aggregate data from them all, but that is something most data collection systems have (and at least the ones I know of also allow individuals to upload their local test data thus meaning you can test that upload locally). If you break those test groups up right most developers will know which they should run as a result of their changes (if your tests are not so long that developers wouldn't run them all before pushing then you shouldn't shard anyway, though it may be reasonable to say your CI shards are still longer than what a developer would run locally)
I have had many tests which manipulate the global environment (integration tests should do this, though I'm not convinced the distinction between integration and unit tests is valuable) so the ability run the same tests as CI is very helpful in finding and verifying you fixed these.
