According to this post (note that this is 3 years old), you can assign all shading surfaces to a single shading group. The main reason you would use different shading groups within one OpenStudio model would be to:

• Assign different shading surface types (Zone, Building, and Site). This affects how the shading surfaces will rotate according to zone orientation or building orientation to the North axis. You can read more here and here.
• Assign different spaces
• Assign different shaded objects

You should know that external shading surfaces like overhangs and fins will only affect the model if the Solar Distribution input field of the Building object includes external surface interactions. You can read more about that here.