If we change our membership from group to student, will we lose all of our data? Or will it transfer with our membership change?
When you say membership - group to student - are you referring to ArcGIS Pro licensing? Or shared items in ArcGIS Online?
pro licensing
So ArcGIS Pro licensing is used to start and use the application. There are 3 tiers, Basic, Standard and Advanced and within those tiers - single use, concurrent use and named user licensing models. Each tier, Basic, Standard, Advanced, provides more and more functionality with regards to geodatabase behaviors and geoprocessing tools to name a few. If you change your ArcGIS Pro licensing from an organzation (i.e. group I presume) to a standalone student license (i.e. single use license), the existing data is not affected, deleted, or moved. If it's a file geodatabase, it remains on disk where it's stored - say a C: drive. You can definitely copy/paste it to another PC. Same logic for shapefiles. Data does not automatically transfer to a new location based upon licensing changes. You have to do the data management.