You would like to make a Group of Object Effects from the Object Library.
For example, Group an imported steam train with a smoke effect.
It is not currently possible to make a Group of Object Effects from the Object Library. This is by design.
The Effects require that they are not moving their world positions. You will notice that you are also not able to select them when using the Move Effect, Advanced Move Effect or Mass Move Effect.
So, to avoid issues where a Group itself can be moved, the developers require that the Object Effects are not able to be Grouped.
Lumion 9.0 and newer.