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.
DataCAD 22.02.06.01 on my own build Gigabyte MOBO rack mounted Windows 10 Pro 22H2 x64 i7 920
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.