For groups of radio buttons, W3C recommends that the tab key (shift + tab when moving back) should move from question to question, and the arrow keys should move between the radio button options of the current question. So, the first pattern you described was correct.
The recommended keyboard pattern helps improve efficiency. When users can easily navigate from question to question, they can complete and review their responses more quickly. This time savings can really add up in forms or interfaces with multiple radio button groups, large radio button groups, or optional radio button groups.
For step-by-step recommendations for a variety of interactive widgets, including suggested keyboard interactions, explore the Guided Manual WCAG Audit Tool from Accessible Web.