Yes; sgid:root will run the file as root if run directly on an OS with sgid-on-!# enabled, and if the php file can be tricked into writing to an arbitrary file due to lack of input sanitation, etc.
That's a big IF but defence in depth is advised because bugs are plentiful..
./test.php && whoami
Where test.php contains
Allow setuid on shell scripts
Notes how modern implementations deal with interesting ways to take advantage of sgid
Notes the #! simlink attack was an issue from 1983 to 1993 before which shebang wasn't supported and after which it was more securely implemented.