This behavior is expected. The ePO User Group is created when you use NT authentication to connect to the ePO database in SQL.

If you use SQL authentication in your environment, you can safely remove this group. If you later switch to NT authentication, the group is re-created when you enter NT credentials in the core/config page. Any user account that is entered in the core/config page is placed inside the ePO User Group when you click Apply.

NOTE: ePO creates this group to ensure proper authentication to SQL when NT authentication is used.