In SharePoint list by default we can't group Choice field if it allows multiple selections (checkbox).To group by a Choice field which allows multiple selections (checkboxes), convert the Web Part to a Data View using SharePoint Designer, then apply grouping by given steps:
1. From the "Common Data View Tasks" menu for the Data View Web Part, select "Sort and Group:" from the options to open the Sort and Group Dialog, add any field into the Sort Order section to activate the "Edit Sort Expression..." button. Click the "Edit Sort Expression..." button to open the Advanced Sort Dialog.
2. From the list of fields, add the Choice field, and make sure that the field reference is the only value in the "Edit the XPath expression" input.
The field reference should begin with an @ symbol followed by the column name of the SharePoint column/field (example: @Location). Preview box will show values of the column.
3. Press OK on to close the Advanced Sort Dialog. Select the Choice Field from the list of fields in the "Sort Order:" box, then select "Show Group Header" under Group Properties. This will result in items being grouped by the value in the choice field which allows multiple selections.
Hope this help.
Nilesh
