I believe you will need to create a Group Layer ahead of time. You can add the layers to the Group, then create the layer file from the Group. However, from what I could find there is no way to create a Group Layer via python.
Ya, unfortunately that doesn't help. I need to sort through a list of ~1000 buildings, create a group for each combining 5 layers, and export the group to a .lyrx.
Odd that the functionality is included through manually selecting the layers-->right clicking-->share as layer file but NOT through arcpy.