I have a theory, but didn't try it to find out. When you put the three cones inside one another and render, a blend is reached and you get just that, a blend. When you group, the dominant material is the outer skin. To group and still have the illusion of a blend, you'll have to decentralize the cones so that each has surface area unobscured by the others. In other words, instead of one inside another, put one on the edge of another. .... adendum, after trying this, it didn't work so great. Playing with transparency helped more. Might have to increase the transparency when overlaid. Of course, I was not playing with volumes, but rather, regular textures. hmmm, good luck and send me a post card.