Can you report what type of playback zones you are using in the group? When playing to Roon Ready devices, you should be able to play to a grouped zone while using convolution filters on a per zone basis.
Because of the differences in group synchronization protocols between Roon Ready and Airplay, the behavior you are seeing is working as designed. Technical limitations prevent convolution from working with Airplay grouped zone playback. I have submitted a feature request ticket with the development team and asked if there have been developments in the area that would enable this functionality to work with Airplay.