Hi!
If these are groups that are managed in Windows AD and synchronized to Azure AD via Azure AD Connect, then that's expected behavior. Since these groups are read-only in Azure AD, and can only be managed/written/changed in Windows AD, the Access Reviews engine can't commit changes to group membership after a review. We have no way of directly reaching to on-premises Windows AD and perform the changes.
While we're looking at ways to support that scenario in the future, currently, you can't write decisions back to groups that are managed on-premises in Windows AD.