A few questions:
-What distro are you using?
-Do you have more than one user account created on the system?
-Is your computer/system (the one you are doing this on) for testing only or is this a work/home used computer /system?
The reason that I ask is that it is good practice to test changes to a system that is not critical to your daily uses. This is especially true for Ubuntu where by default the root account is locked. If you don't have a test system and you are using your daily useable system, then you should be testing these changes with a test user account not your only actual user account.
As to the reason that sudo still works without a password, I am not entirely sure but my guess is that the '#' in the /etc/group is being ignored. Usually you remove the user from the group either by:
gpasswd -d username group
or
editing the /etc/group and deleting the user from the sudo group.
Caution: I would test this out with a test user rather than your personal user account if you are the only user on the system and root account has been disabled.