I, too, have long wished for a group freeze function. However, the current implementation doesn't work reliably for me. It'll work once and then refuse to work again.
I've tried it again just now. Here's what I did:
1. Select 3 MIDI tracks via ctl-click
2. Ctl-click the Freeze button
3. All three tracks freeze as intendend (yay!). So far, so good.
4. With the same three tracks still selected, ctl-click on the Freeze button again
5. Nothing happens. The tracks are not un-frozen as expected.
6. De-select the tracks and unfreeze each of them the normal way
7. Re-select the same three tracks
8. Ctl-click on the Freeze button
9. Nothing happens. The tracks are not frozen.
10. Close the project without saving, then re-open it
11. Duplicate all of the above steps; ctl-click on the Freeze button does nothing in any of the steps, including the very first
12. Completely shut down SONAR and repeat the above steps
13. After restarting SONAR, the initial group freeze works again but not subsequent attempts - until SONAR is restarted
Perhaps some internal flags are not being reset, confusing SONAR about their frozen state.