Grouping items adds a shadow (that was removed)

I have an existing image with a drop shadow. I have selected the image and clicked the ‘eye’ icon next to the Drop shadow option so that the shadow no longer displays. I have repeated this for as many layers as I could see, so that the image no longer shows a drop shadow.
However, when I group the image with other images, the drop shadow automatically displays on the original image again.
How can I remove the shadow so that it no longer displays when I group the image with other images?