Go into Preferences / Layers and uncheck Enable Click-through for New Groups.  Emphasis on “New”  The selected behavior will remain on your existing groups, so if you uncheck it and start clicking on your group thinking you can move it as one, it won’t happen. You’ll need to ungroup it, then regroup it for the new behavior to take effect.  

Source: Grouping… it’s driving me crazy. — Sketch Talk