Once a device group is created in a location, the group can't be moved to a different location. The solution is to:
1. Create a new device group in the new location
2. Move all of the devices to the new device group in the new location
3. Delete the device group from the old location
Note that you can accomplish #2 by selecting "all" from the device group list before clicking the "Move" button. This will allow you to move all devices at once.
It's recommended that you first assign all of the apps that you wish to remain installed on the moving devices to the new device group BEFORE moving the devices. If you don't do this, all of the apps assigned to the old group will be uninstalled from the devices immediately after the move.