In order to fix this, do the following:
- On the 'Manage' tab, click 'Project Parameters' on the 'Settings' panel
- Now select the shared parameter from the shared parameter file and set the 'group under' to the match the correct group in the family. Click 'Ok'
- Now go back into the Project Parameter dialogue, select the parameter and hit 'remove'
- Now you'll be left with the shared parameter in the family under the correct group
I've no idea why Revit does this, but its clearly a bug. It will do it with the same shared parameter used in multiple families, but once you apply this fix, all the families that contain the offending parameter will then be correct.