By t.code FBZP - HOUSE BANKS: selecting an house bank and then, the folder "Bank account", in the section 'Control Data' I can see the field "Bang Group". What about it?
I dont think you do need to setup any config for Bank group.
It is setup when you create Bank Master in T-code FI01.
While creating Bank Key using this transaction-FI01, you can specify Bank Group in control data section.
Also, use same group for Banks you want to combine.
Hope this helps.