In order to get IntelliJ to run *.groovy files, I needed to properly configure groovy inside IntelliJ.
Through some experimentation found that a file is included in the groovy zipfile distribution that can be used. The file is groovy/config/groofy-starter.conf
After using this file as the config file, I was able to run *.groovy files inside IntelliJ Ultimate and they ran correctly.
NOTE: I also switched from Java11 to Java8. So Java8 might be needed (not sure).
Below is the full java command that was used when I selected File | Run
C:\p\jdk1.8.0_271\bin\java.exe -Dtools.jar=C:\p\jdk1.8.0_271\lib\tools.jar -Dgroovy.home=C:\p\groovy-3.0.6 -Dgroovy.starter.conf=C:\p\groovy-3.0.6\conf\groovy-starter.conf "-javaagent:C:\Program Files\JetBrains\IntelliJ IDEA 2020.1\lib\idea_rt.jar=57171:C:\Program Files\JetBrains\IntelliJ IDEA 2020.1\bin" -Dfile.encoding=UTF-8 -classpath C:\p\groovy-3.0.6\lib\groovy-3.0.6.jar org.codehaus.groovy.tools.GroovyStarter --conf C:\p\groovy-3.0.6\conf\groovy-starter.conf --main groovy.ui.GroovyMain --classpath .;C:\Play\groovy-try2\out\production\groovy-try2;C:\p\groovy-3.0.6\lib\ant-1.10.8.jar;C:\p\groovy-3.0.6\lib\ant-antlr-1.10.8.jar;C:\p\groovy-3.0.6\lib\ant-junit-1.10.8.jar;C:\p\groovy-3.0.6\lib\ant-launcher-1.10.8.jar;C:\p\groovy-3.0.6\lib\bsf-2.4.0.jar;C:\p\groovy-3.0.6\lib\commons-cli-1.4.jar;C:\p\groovy-3.0.6\lib\commons-logging-1.2.jar;C:\p\groovy-3.0.6\lib\gpars-1.2.1.jar;C:\p\groovy-3.0.6\lib\groovy-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-ant-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-astbuilder-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-bsf-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-cli-commons-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-cli-picocli-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-console-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-datetime-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-dateutil-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-docgenerator-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-groovydoc-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-groovysh-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-jaxb-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-jmx-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-json-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-jsr223-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-macro-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-nio-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-servlet-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-sql-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-swing-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-templates-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-test-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-test-junit5-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-testng-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-xml-3.0.6.jar;C:\p\groovy-3.0.6\lib\groovy-yaml-3.0.6.jar;C:\p\groovy-3.0.6\lib\hamcrest-core-1.3.jar;C:\p\groovy-3.0.6\lib\ivy-2.5.0.jar;C:\p\groovy-3.0.6\lib\jackson-annotations-2.11.2.jar;C:\p\groovy-3.0.6\lib\jackson-core-2.11.2.jar;C:\p\groovy-3.0.6\lib\jackson-databind-2.11.2.jar;C:\p\groovy-3.0.6\lib\jackson-dataformat-yaml-2.11.2.jar;C:\p\groovy-3.0.6\lib\jansi-1.18.jar;C:\p\groovy-3.0.6\lib\javaparser-core-3.16.1.jar;C:\p\groovy-3.0.6\lib\javax.servlet-api-3.0.1.jar;C:\p\groovy-3.0.6\lib\jcommander-1.78.jar;C:\p\groovy-3.0.6\lib\jline-2.14.6.jar;C:\p\groovy-3.0.6\lib\jsp-api-2.0.jar;C:\p\groovy-3.0.6\lib\jsr166y-1.7.0.jar;C:\p\groovy-3.0.6\lib\junit-4.13.jar;C:\p\groovy-3.0.6\lib\junit-jupiter-api-5.7.0.jar;C:\p\groovy-3.0.6\lib\junit-jupiter-engine-5.7.0.jar;C:\p\groovy-3.0.6\lib\junit-platform-commons-1.7.0.jar;C:\p\groovy-3.0.6\lib\junit-platform-engine-1.7.0.jar;C:\p\groovy-3.0.6\lib\junit-platform-launcher-1.7.0.jar;C:\p\groovy-3.0.6\lib\multiverse-core-0.7.0.jar;C:\p\groovy-3.0.6\lib\opentest4j-1.2.0.jar;C:\p\groovy-3.0.6\lib\org.abego.treelayout.core-1.0.1.jar;C:\p\groovy-3.0.6\lib\qdox-1.12.1.jar;C:\p\groovy-3.0.6\lib\snakeyaml-1.26.jar;C:\p\groovy-3.0.6\lib\ST4-4.1.jar;C:\p\groovy-3.0.6\lib\testng-7.3.0.jar;C:\p\groovy-3.0.6\lib\xstream-1.4.13.jar --encoding=UTF-8 C:\Play\groovy-try2\src\hello2.groovy