I tried to reproduce the same in my environment and got below results
I created one Azure AD group and added one user, group and service principal
as members like below:

I executed the same query in CLI and got response including service principal too like below:
az ad group member list --group <my_group_id>
Response:

Alternatively, you can run query like below and can retrieve members with their displayName
and objectType
by selecting specific properties:
az ad group member list --group <my_group_id> --only-show-errors --query "[].{displayName:displayName,ObjectType:objectType}" -o table
Response:

UPDATE:
Please note that, response varies based on the version of CLI we are using.
My CLI version is as below: az version

If you are using an upgraded/different version, you won't get service principals in the response as mentioned in this MS Doc
Currently service principals are not listed as group members due to
staged roll-out of service principals on Graph V1.0 endpoint.
I tried to list the group members of same group using MS Graph Explorer by running query like below:
GET https://graph.microsoft.com/v1.0/groups/<my_group_id>/members
Response:

I got only user and group in the response without service principal.
You can check the below GitHub issue to know more in detail:
az ad group member list
does not list service principals. Issue #22664 -GitHub by Kevin Haring