Category Groups have a few functions:
You can set a "Group Field Limit," which will count all participants from all categories under that Group. For example, if you have a venue limit of 100 participants, but your event is on both a Saturday and Sunday, you could make Group Headers with a limit of 100 participants for each day.
Category Groups are also a great way to break up your registration page; they are often used to separate event days, different distances, or participants and volunteers.
Multi-Entry Discounts can also be based on Category Groups.
On the Category Setup page you can use the Add Group button; then, drag and drop the categories you want to be placed under that group. There is also a "Group" dropdown in each category if you would like to add the group dropdown in that way.