Impossible to say without you having seen the behavior... It's also not too likely all your hens have the same opinion on the egg... One may have enough instinct to detect that the egg is unhealthy, so she's removing it from the nest, but given that none of yours are laying yet that's very unlikely.
They may be rolling it around trying to find out how to get into it, that's a common behavior preceding egg-eating. They can and do learn that from watching others but they'll just roll it around in the first case, most times, before they get the angle right and break into it. Some don't like using that much force, perhaps hurts their beaks somewhat.
They may be showing some natural instinct to roll the egg under them in order to keep the clutch together, but if they all go in there together they may be playing 'pass the parcel', i.e. some hens will stick their heads under other hens to retrieve eggs they think they own, but again because they're not brooding nor even laying yet that's very unlikely.
Another possibility is that you have a juvenile rat or some predator that's not experienced with eggs yet trying to get into it; it can smell the yolk inside but perhaps hasn't got the idea of how to get it. Some rats and mice can be quite silly with eggs like that, leaving chisel marks around the outside then stopping before they actually break into it, having given up prematurely.
If there are raised edges more than two inches high on the nesting boxes it's also unlikely that it's the chooks doing it. Some hens hold their clutches so tightly with their wings that they can lift the whole nest, clutch and all, if you place a hand under their breasts and lift them; others hold their wings so tight that they will walk off the nest then release the egg some meters from it. Both are behaviors much more common to adult hens with maternal instincts and experience, not inexperienced juveniles who have not even hit P.O.L.
It's probably likelier that it's either not the chooks doing it, or it's them accidentally doing it by digging in the nest straw and kicking it flying. A healthy egg can be thrown many meters, bounce off trees, rocks, etc, without breaking, they are amazingly strong and resilient. Some eggs have taken me multiple throws to break, even when throwing straight at the ground, if it's not concrete. I wasn't throwing gently, but not very hard either (at least, not to begin with) because who expects to have to use any amount of significant force to break an egg?
Another possibility is that they want the egg in a different nest but it's also unlikely as they're not laying yet. At this point, depending on their instinct levels and whether they've ever helped themselves to some raw eggs for a meal before or seen it done, it's a better bet that they're just curious or investigating it as a potential food item. If the shell is white they may be pecking it around trying to get calcium, most hens want more calcium than layer diets give them, even before they start laying, and most animals identify white things as a calcium source.
In any case I wouldn't use a real egg for a nest egg. I use plaster of paris coated in arcrylic as it conducts heat like a healthy egg so instinct-strong hens won't kick it out for not metabolizing in response to their body heat like a fertile, live egg does, as that's how they tell which eggs are viable and which liable to explode. Fake nest eggs also help retrain egg eaters and deter predators. One particularly silly rat dug almost an inch deep into one fake egg before realizing there was no yolk, lol!
Best wishes.
