I work 3rd shift at a grocery store. Our manager recently left and his new replacement has stated that there will be changes made. One of these is that no one will be allowed to leave the building during lunch breaks. Day shift employees can leave during their breaks to smoke or eat, etc. Is it legal to keep one shift in the building while allowing others to leave?

Yes, it is. There is no law that prohibits the employer from having different work rules based on shift.