I suggest the ability to group by a linked table field. I think it’s probably currently not implemented because linked tables allow for multiple linked items. Two suggestions for implementation:
Allow for the option to limit linked field to only link to one record. That would allow current configurations to group by that field.
Hoping eventually it will be possible to group by a field that allows for multiple selections (multi-select field or linked table field).
Meanwhile, I work-around that I use a lot is creating an additional field. This field is a formula field with the following formula: join(lookup('Name of the Linked Field','Name of the field in the Linked table),' ').
This converts all values in the linked field to a long strong that can be used for grouping.