I found it out! I need to remove the previous storyboard at the exit-action like below. Now it works :)
<MultiDataTrigger>
<MultiDataTrigger.Conditions>
<Condition Binding="{Binding Path=GroupStyle}" Value="GroupStyle1"/>
<Condition Binding="{Binding Path=IsGrouped}" Value="False"/>
</MultiDataTrigger.Conditions>
<MultiDataTrigger.EnterActions>
<BeginStoryboard x:Name="BeginStoryboard_TurnToUnselectedStyle1" Storyboard="{StaticResource Storyboard_TurnToUnselectedStyle1}"/>
</MultiDataTrigger.EnterActions>
<MultiDataTrigger.ExitActions>
<RemoveStoryboard BeginStoryboardName="BeginStoryboard_TurnToUnselectedStyle1"/>
</MultiDataTrigger.ExitActions>
</MultiDataTrigger>