Group is when you "group" items together in a drawing.
You can group things together like notes to dims, or custom symblols to notes or dims and so on.
You probably have more than one item highlighted or selected when you right click.
I tested it and it will only appear when more than two items are selected in a drawing.
So the group that you are seeing is just a command to group things together in a drawing.
You "ungroup" in the same manner, select a "grouped" set of items and then right click to select "Ungroup".
Hope this helps.
I don't use group a lot, but I think that all anotations and dimensions you want to group need to belong to the same drawing view. Since notes and dimensions move when the view they're attached to moves, you can see that trying to group things from different views wouldn't work to well, So, selecting items that are from different views will not give you the group option (or it shows up but is greyed out, I don't recall). You may be able to goup anotations that are independent of a veiw with dim's and/or note attached to a view but I don't remember trying that myself, or what the results were if I did. If you don't get the group option when you think you should, make sure that avery thing is infact attached to the same view. On a busy drawing it's easy to place a note, only to find it's attached to a different view than the one you wanted.
You might also see odd behavior if you have notes (e.g. rev' letters) grouped with dimensions that are aligned to other dimensions. I think this is a bug that has been reported.
It worked. I deleted the original set, and recreated new notes. This time I made sure the bounding box for the respective view was selected for both note creations. I am then able to select both and create groups. Previously I had one of them tied to a view, and the other was floating, hence it did not work.