The command jq DOES NOT create a CSV file it creates the output in a CSV compliant format, so you need to first create the file with the necessary column headers, then pipe APPEND the output from the mgmt_cli command to that file with the header, which is how you get an actual file.
You should have had a dump of the values to your shell screen, if run without piping the output.
echo "name","ipv4-address" > groupmembers.csv
mgmt_cli -r true show-group name "groupname" -f json | jq '.members[] | [.name, ."ipv4-address"] |@csv' -r >> groupmembers.csv