On the new Windows 11 Start Menu, Microsoft have not yet implemented a setting to allow us to edit the pre-defined groups on the Start Menu, that may become available in a future update, but for now it is not possible.
If you want to add custom groups to your Start Menu, the best option is to open the Settings App, go to Personalization - Start and hide the Category section on the Start Menu.
Then pin any apps you want on your start menu, you can then drag a pinned app on top of another app to create a new app group and add more apps to the group also.