Defo reproducable here in Visio 2016, but in V2010 it's ok.
I took one of my large grouped shapes, placed a rectangle next to it, selected all, added to group. In the Drawing Explorer, found the added shape (Sheet.26 in this case), Send To Back, saved file in VSSX format. Reopened file. New shape is back on top.
Had a look using my Utils -> Grouped Shape Report.
When the new shape is added to the group, it becomes Sheet.26 and is the last shape in the grouped shape list report.
Send to Back: report now shows Sheet.26 in position 1, i.e. it has been sent to back.
Save, Reload ...
Report now shows Sheet.26 back to being the last shape in the grouped shape list.
Now repeat in V2016 but save in .VSD format. All is ok. It is the VSDX format save that is &%£@*&$ wrong.