What is your advice to the teachers of a group of people who have been taught the word in a group Bible study, have accepted it, gotten baptized, but do not want to attend the Lord’s church? They have wholeheartedly for months have been happy to keep studying the Scriptures and are making positive changes in their lives based upon what they have read and have been taught, but are attending denominational churches. Whenever the subject of the church is brought up, they claim to not understand the connection even though they understand everything else. Do we continue to show patience and mercy?
You've listed out what has happened, but why these choices are being made is not clear. I suspect that they have ties to family and friends at these churches, so they would rather pretend there isn't anything wrong.
Personally, as long as people are willing to learn, I continue to teach. I keep hoping that something we cover will eventually bring them around. Sometimes it happens, more often these types of people lose interest (the parable of the sower). Too often people think baptism is the endpoint when it is really just the start.
I don't know what has been covered yet, but make sure to cover worshiping God in the way that God wants to be worshiped. Learn examples, such as King Saul who thought he was obeying God but was modifying God's commands (I Samuel 13,15).