Think of a group or component as a jar into which you can put things. One of the sorts of things you can put into the jar is another jar - here, a group “nested” inside a containing group. Exploding discards the jar, leaving just the contents - here, the group that was nested.
It reports that because there is a group nested in the group. You can see this in outliner. In SketchUp (and Solid Inspector 2) view, a solid cannot contain any nested objects. Some slicers are less picky and will accept nested groups.
Because there is another copy nested inside the original group, the one you exploded. Copies of groups become unique only when you edit them. Exploding the outer group does not modify the nested group.