Problem with covert to symbol - please helpppppp

Anytime I try to convert to symbol any folders or group of layers that have layers with alpha layers in them the object either changes opacity or changes the shading all together.

How do I make it so I can either merge the layers into one file or convert into a symbol and have it stay looking the same?

Have literally been trying to fix this for hours.

The first picture is the original and how I want the image to stay.

The second image is what happens when I covert to merge or convert to symbol.