Yep.
I started with two melee cav groups because I hadn´t any horse archers. Then I got horse archers and they were assigned to one of those groups. I created a third horse archer group but wasn´t able to move the horse archer group slider to get those horse archers into this group.
It only worked when I set up all groups as mixed cav, then I could move melee cav and horse archers as I liked to. After that I could also set up one of those groups as horse archers only and it still worked. But as soon as I setup those two mixed cav groups as melee groups again it´s screwed again.
My first idea was to set it up like this (didn´t work):
This worked: