I believe this is a result of the architecture of DSP: It is tied to the endpoint.
I would think there are two possible solutions to your issue (that Roon would have to implement):
Simpler: Have the ability to save DSP profiles, then call them into action per endpoint - You’d have a “SONOS One Eq” say and you would attach that to each of the endpoints (and it would be respected when grouping).
The simpler solution might be unworkable as it would have to include the possibility of different DSPs per endpoint in the group, and those DSPs might cause delays that make syncing the endpoints impossible.
More complex but better: Allow for overall DSP applied prior to the routing to an endpoint. I presume this is a bit of an architectural change to Roon, but of course I don’t know (frankly this would and should have been front and center in the DSP design from the start, but whatever…)
BTW, the solution to your ask is technically very similar to the ask below: