Group Cells/Group Together is only available when manual grouping (Cell ► Grouping ► Manual Grouping) is selected.
The grouping of cells is indicated by nested brackets along the right margin of the notebook.
When you use Group Cells/Group Together on a selection that has the beginning cells already grouped, Mathematica incorporates the remaining ungrouped cells into the existing group.
A cell cannot be the first cell in more than one group at the same time.