What does "is set-group-ID on execution - ignored" mean, and why am I unable to uncompress a file because of it?

I'm trying to uncompress a file using

gunzip GCF_000746645.1_ASM74664v1_genomic.fna.gz

... but I get the following error:

gzip: GCF_000746645.1_ASM74664v1_genomic.fna.gz is set-group-ID on execution - ignored

I've learned that "set-group-ID on execution" refers to something related to permissions on the server, but I'm not entirely sure how so and what I should do.