To narrow down where you could look try some of the following things:
- Create a new document, copy your shapes, group them see if it still happens (its probably not in the document settings)
- Create a new page, copy your shapes, group them, see it it still happens (its probably not in the page settings)
- Create new shapes (some circles or something) group them, see if it still happens (not in the shapes)
- Try your file on a different computer (if you have one), see how it responds. (not in the Visio installation on you computer)
Might help you narrow down the cause...
Let us know if you find anything.