You need to do it the other way round - drop your textboxes etc onto your rectangle.
If you already have a bunch of items you need to group, make a space on your report, create a rectangle there, then drag and drop the textboxes into the rectangle one by one, then adjust the size of the rectangle once you have freed up enough space on the report. Once you have your items in the rectangle, their location becomes relative to the rectangle, not to the report body, so if an item's location is 200, 100 and your rectangle is only 100,100 then you won't see the item until you either adjust the location or the size of the rect.