I struggled with this for years but it is really easy (when you know how!)
Be aware that pictures in placeholders cannot be grouped.
Code:
Sub Group_Pic()
Dim osld As Slide
Dim oshp As Shape
Set osld = ActivePresentation.Slides(1)
'make sure nothing is selected at start or they will be grouped
ActiveWindow.Selection.Unselect
For Each oshp In osld.Shapes
If oshp.Type = msoPicture Then oshp.Select Replace:=False
Next oshp
With ActiveWindow.Selection.ShapeRange
If .Count > 1 Then .Group
End With
End Sub