At first I was unsure if my whole army was selected when selecting it so I kept on shift clicking on each guy and then moving them.  I noticed weird things when I did this.  I believe that each unit was moving individually instead of as one entity.  Some of the things I saw were quest givers telling I had no escort even though I did, odd graphical shuffling, invisible units and units with different movement points not staying together.

I guess the current implementation is to assume everything in the same place is grouped.  Maybe it would be better for army groupings to be remembered even after moving onto another army.  I have seen some pretty large stacks and making assumptions like that could be time consuming once we are dealing with large armies.  If I move 2 armies into a city I may want to move them out again in a couple of turns after they have healed.  Having to reselect them all would be annoying.  If you do go this route you could just link all the little arrows on the unit circle icon with a line to show they are all together as one possibility.