From the manual: Caution: When you group entities, DataCAD moves all entities in the group to the same layer. By definition, all entities in a group must be on the same layer.
Joesph is correct. But if you want to work on a multiple entities across different layers, Selection Sets are what you want to use. You need to add them all to 1 of 8 possible selection sets, which you can also rename if that helps. When doing a move or other actions, you select the active set by using the mask feature. You can quickly change the active Set in the Status Panel, or Alt-#. I don't use often, but sometimes the come in handy.
