From how I saw itunesconnect behaves w.r.t. leaderboard groups, I have seen that if there is any game that has leaderboard sets, any leaderboards that you add further (to that game) must be added to one of those sets only.
It doesn't allow you to add a leaderboard (that's not part of any group) to the same game.
Perceived Rule: There is no place for standalone leaderboards once you create a set.
What might be happening in your case:
Since you have created a group for your group of games - probably your other app (game) is having some standalone leaderboards. Since you added them first, it allowed you to add them as standalone. After coming to second game, you created a set, and since all leaderboards (MUST) belong to the sets - and sets to the game group - this is iTunesConnect's way of complaining.
Solution:
Go to other game belonging to the same group (Group Reference Name) and delete those standalone groups, or maybe make them part of a set. Save. Then come back to this game and check those leaderboards again.
Maybe I am not right about your other game, but I am sure there are orphan leaderboards that are no part of any sets that's causing the problem.