I have started to have the same issue - send a message in group chat and replies coming back into deleted smaller group chats (with partial group members)
I have tried deleting the older partial group chats (many times). I tried editing those to add the new members which matches the current group (but doesn't seem to save/ work).
I checked my setting as above - such that group sms replies remain as group options (2nd option).
My friends have pixels & 1 has a One plus & none of them seem to be having same issue. They all send, reply & receive in the one group chat thread.
I have a Pixel 3, ANdroid 10, security/ updated to Apr 5.
Update: i see a few replies above that turning on auto reply whenn roaming fixed one person - I'll try that,