It happened to me quite a few times now that I wanted a group of lines on a different layer. Be it to mirror them or because I edited an existing component or other things.
I can right-click one line and change its layer but I can’t do that when I select multipe lines. Neither can I copy a group and paste it on a different layer.
You’re not missing anything, it’s not possible in the latest version. In the future it will probably be with the “object inspector”, but it will be only in 6.0 stable at earliest. Maybe in 2019 nightly builds.