Yes, it seems that you can only move tabs to another open window --perhaps a legacy from the previous releases when tab groups where equated to real windows. As a user I would expect to be able to send a tab to a Tab Group whether it is opened in a window or not.
Also, the menu is somewhat confusing because it does not display the tab group associated to the window, it displays the number of tabs opened so one cannot really be sure where you are moving the tab to.
