Grouping is not possible with file-linked objects. Imagine the whole file-linked model as an xref. You can't select same-layer entities individually, they are treated like a family of objects.
File linking is only good really for objects that do not need to be moved around or edited once they are linked, like walls and floors. One benefit of file linking is that you can update/revise the AutoCad drawing and then reload the file-link and NOT have to reapply materials or UVW modifiers.
For all other elements of the model, you should just import them separately; I usually only keep the very main components remaining in the original drawing for file-linking. All the other second and third fix components are w-blocked out into separate dwgs of their own, for 'import' into Max at a later stage.
When you 'import' AutoCad elements to Max you have a much wider range of editing abilities, such as grouping, assemblies and sub-object selection (and manipulation / modifiers). The only drawback is that these imported object will obviously not update when their dwg counterparts are updated. You need to delete them from Max and re-import and reassign materials, UVW maps etc...
Darawork
AutoDesk User
Windows 10/11, 3DS Max 2022/24, Revit 2022, AutoCad 2024, Dell Precision 5810/20, ASUS DIY, nVidia Quadro P5000/RTX 5000/GTX760