When the wald test (or log-rank or -log(LR)) are significant it can be due to only one big contrast between two Groups, and not neccesaryly that all four Groups differ from each other. It is correct as you say that four Groups can not be assumed to be equal. Proc phreg produce Wald, LogRank and -2Log(LR), they are asymptotic equivalent. You can write "type3(wald)" as option in the modelstatement if you only want the wald test.
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