Good catch! Just tried it on Win CS3, and indeed, if fill opacity is respected, channel unchecking is not.
Which group property does not follow? I don't see a difference in your screenshot, and tried adding blend effects as a group, and it stuck between the depth change.
I moved it to the enduring forum. According to: http://feedback.photoshop.com/photoshop_family/topics/lost_channel_set tings_in_group_properties_and_blending_options_when_switching_to_or_fr om_16bit
the behavior is now correct with CS6.
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