Had the same frustration, but this solution works for me:
1. Select the group (only the first group object where you want to cut a piece out of)
2. De-group but keep all selected (in right-click menu)
3. Make compound path, (in right-click menu) now it becomes a single object, without filling all the "holes"
4. Now you can use all pathfinder functions without a problem
Had the same frustration, but this solution works for me:
1. Select the group (only the first group object where you want to cut a piece out of)
2. De-group but keep all selected (in right-click menu)
3. Make compound path, (in right-click menu) now it becomes a single object, without filling all the "holes"
4. Now you can use all pathfinder functions without a problem