When I delete a profile, it deletes it from all the groups. Why?

Profiles in Groups are not copies of the original profile, they are pointers to the original profile (and Groups are not folders, they are collections - of pointers). There is only one copy of any one profile under any one particular name.

If you make a change to that unique profile (directly, or via a pointer to it in any Group), this affects all pointers to it in all Groups (because now they point to a modified profile). This includes deletions. If you Delete a profile via the pointer to it in a Group, it deletes the actual profile and all pointers to it (otherwise you would need to do so individually). The program will warn you this will happen if you try, and give you the chance to back out.

If you want to remove a (pointer to a) profile from a Group, modify the Group profile (right-click Group > Modify) and simply remove it from the Group's list of contents.