That is not going to happen because it would create other problems in the software. This is where you use the levels.

If you need an object at -20 you add a level at -20 and place the object there. (You can create levels with a negative elevation: below ground.)

Grouping over multiple levels can be done but is not advisable unless for pure organization of you furniture. The reason is simple: If you copy/past the group everything is pasted on the same level where you paste. In other words: the different levels are lost.