If you are looking to create filters for your calendars those are setup in Categories. These filters show up in a horizontal slider below the dates and photo on Multi-Day Calendars. At this time they are not included with the Month-At-A-View Calendar as these typically don't need filtering.

Calendar Groups are unique calendar instances that are separate menu/icon items in your layouts. For example, you may have one calendar group for your short-term event schedule and a second calendar group for your year-round calendar. Each of these calendar groups can have different layout styles.