Hi,
If you want to group them, the grouping options you used are fine and the best way – but of course grouping means, that the items need to be moved from a list of all items to a group – which also means, that the ordering of the items change with it.
You can also try this feature instead of the classic grouping. With that you can change which post types to get first. Then, there is the distribution option. With that, the plugin will try to distribute the results among the selected post types equally – giving results from all selected post types.