Anderton
Maybe this will help:
 
The following rules apply when using Quick Groups.
 
* Quick Groups only affect tracks of the same type (Audio or MIDI).
* For instrument tracks, the relevant controls is treated as belonging to an Audio or MIDI track.
* Quick Groups do not work between tracks and buses.
* Quick Groups apply a relative adjustment to each control.
* If you adjust a control in a selected track, only selected tracks of the same type are affected.
* If you adjust a control in a non-selected track, all tracks are affected.

Yeah, all that makes sense. Now, the manual says you can use Quick Groups for a lot of different things, it doesn't list that Freeze is one of those things. So, I questioned whether it was a real 'thing' or not.

I think I'm satisfying those requirements, Craig. I open a project and before doing anything, select three adjacent MIDI tracks within the same track folder. I verify that I have created a Quick Group by holding the CTL key down while changing the velocity offset slider and watching them all move together.
 
I can then hold the CTL key down and click the Freeze button, and all three instruments freeze as expected. After that, nuttin' -- until I shut down SONAR altogether and restart it. It's not enough to close and re-open the project. After restarting SONAR I can then create the group, CTL-click the Freeze button and they will un-freeze as expected. But to re-freeze them I'll have to shut down and restart SONAR again.
 
Admittedly a wild guess, but I still think SONAR is hanging on to some internal state flag, such as a flag that indicates a freeze is in progress or something.

BTW, just tried out the trick of inserting fx on multiple tracks this way - VERY cool!
 

Wouldn't it be cool to right-click on one track, select Copy Channel, then Quick Group a few other tracks, Ctrl + Right-click and select Paste Channel to have all the settings, plug-ins, I/O, and ProChannel FX syncronized from that source track?