I use with my volunteer account to make the following tests. I use safemode=1, just in case of a conflict with another gadget/script.

I have enabled "Show Wikidata edits in recent changes"
I have enabled "New filters for edit review"

When I go to the RCs, I have this configuration of filters:

I see Wikidata edits.

I go then to my preferences, and enable "Group changes by page in recent changes and watchlist"
I go back to the RC page and reload it.
I have the following filters:

The edits are all grouped. I don't have any Wikidata edits visible.

I've made an edit on Wikidata in the case there is zero edits when I test. The edit is done on the article "Théâtre universitaire de Strasbourg" (at the bottom of the next screenshot)
I've reloaded the page and I still don't have the Wikidata edit.

When I disable "Group changes by page in recent changes and watchlist", the Wikidata edit is visible now in the RC page.