This behavior is a bug in jQM 1.4.0 alpha 2. You should update to 1.4.0 RC1 and also remove the ul and li tags because this list should only be a listview or a controlgroup, it cannot be both. This would be the final HTML:
<div data-role="content">
<fieldset data-role="controlgroup" id="myGroup" data-filter="true" data-icon="false">
<input type="checkbox"
name="itemIds"
id="228"/>
<label for="228">
Orange
</label>
<input type="checkbox"
name="itemIds"
id="70"/>
<label for="70">
Red
</label>
<input type="checkbox"
name="itemIds"
id="71"/>
<label for="71">
Blue
</label>
<input type="checkbox"
name="itemIds"
id="72"/>
<label for="72">
Purple
</label>
</fieldset>
</div>
You can try it out here in a fiddle: http://jsfiddle.net/KsRb2/5/