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 in on Sat 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 registraiton page, it is often used to sperate 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 it that way.