The basic Group command is used to create a temporary group for a single operation. If you want a more permanent group, select the components, then right-click one of the components and click New Group. The group is marked with a bounding box and a label at the top.
Grouping with a selection rectangle includes all inside objects: components and nets in a schematic; components, wires, and vias on a board. Using the Ctrl-click method is more selective, allowing you to include only the components that you click.