Hello! 
I’m trying to create an instance of all the objects that are in my group doing something like this:
But the event just create 1 instance of the first object in the Group (Azul) ignoring all others objects. Is it supposed to be like this? If so, my only alternative would be to place separate actions for each object? Or is there a more practical way?
Thanks!
Yes, it is supposed to be like this.
You ask for the creation of one item of the group, without saying which, so it creates the first one.
You could place the objects in the scene editor, outside the screen, and do “for each Group”, move to 200;0. 
Note: for each Group means: for each instance belonging to Group that exists in the scene.
Thanks for the explanation and for the tip. It’s very simple, but I hadn’t thought of that. It will work for my game! 
