Anyone? Beuller... Beuller... Beuller...
- When creating a NEW filter that you want in a group, click on the group header (orange), then click + to add a filter.
- Drag and drop. You can see the orange/blue lines and arrows indicate which "level" it's going to drop into (inside/outside the group)
So, in testing this myself, I think I found a bug, which is probably what you are hitting. I had to do #1 before I did #2 - I had to create a group, create a "test" filter in that group by clicking on the group, then I could drag other filters into the group.
Let me know if that's the same thing you're running into and I'll get a bug filed. All the things you think should work SHOULD work, but seem to not until there's another filter in the group first.