The script is run, but logging is disabled. For example, if your Teardown script is
assert 1 == 2
then after running the LoadTest, you will see the Assertion error in the Error Log.
I checked the soapui.log, and I saw:
2018-08-18 09:31:55,204 INFO [log] test 1
2018-08-18 09:31:55,204 INFO [SoapUI] Disabling logs during loadtests
2018-08-18 09:32:00,255 INFO [SoapUI] Enabled logs after loadtests
So it looks like logging is disabled after the Setup Script, and enabled again after the Teardown script.
Looks like there's a UI option for it:
File > Options > UI Settings > Do not disable the groovy log when running load tests
(you will get logging on your TestSteps, which might impact performance)
I checked the source, and the mechanism of disabling the log is:
Logger.getLogger("groovy.log").setLevel(Level.OFF);
So you could do this at the start of your Teardown script:
log.setLevel (org.apache.log4j.Level.INFO)