Hey John,
look into Options -> Application Preferences, in the Defaults tab you find the option "Modify layer of selected entities, at layer activation".
When this option is checked, all selected entities are moved to the layer you select in the layer list, no matter on which layer they were before.
As this feature was annoying for some users when it was released, it is disabled by default. This feature could also be dangerous, maybe it is better disabled in daily work and only activated when really needed.
Armin
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