Does Clustered Index on GUID create more fragmentation than Non Clustered Index?
Since you are indicating insert performance is the primary concern, I'd take the recommendation of the DBA and make the clustering key the identity column since it is a unique, monotonically ascending number, which is guaranteed to (almost) never cause page-splits on the table.

Also, don't store the GUID in an nvarchar(100) column, use the data type designed for them, which is uniqueidentifier.

Look carefully at the reporting requirements prior to adding indexes to this table.  You may find out you don't need an index on the GUID column at all.  If you determine that having an index on the GUID column is required, you may find it desirable to have the leading column of the index not be the GUID, perhaps it will be the Group or TestID column instead?

If you've determined, through a rigorous design process, that the majority of reporting queries against this table will be made using the session id as the primary component of joins or where clauses, you may actually benefit from the table being clustered on the session id.  You'd likely want to set the page fill factor at some point below 100%, perhaps start at 93% and monitor fragmentation levels.  Also, it's worth pointing out that fragmentation may not be such a massive problem if you store this table on SSD.  Will the session id be propagated throughout the other related tables?  If so, you'll likely need non-clustered indexes on the column in those other tables as well, compounding the fragmentation issue.  It may be worthwhile maintaining a single table where you insert the GUIDs to obtain a surrogate integer key to use in the other tables, something like:

IF OBJECT_ID('dbo.SessionSurrogate') IS NOT NULL
DROP TABLE dbo.SessionSurrogate;
CREATE TABLE dbo.SessionSurrogate
(
    SessionID int NOT NULL
        CONSTRAINT PK_SessionSurrogate
        PRIMARY KEY NONCLUSTERED
        IDENTITY(1,1)
    , SessionGUID uniqueidentifier NOT NULL
);
CREATE UNIQUE INDEX CI_SessionSurrogate --could be non-unique if required
ON dbo.SessionSurrogate(SessionGUID);

IF OBJECT_ID('dbo.UserTestGroups') IS NOT NULL
DROP TABLE dbo.UserTestGroups;
CREATE TABLE dbo.UserTestGroups
(
    UserTestGroupsID int NOT NULL
        CONSTRAINT PK_UserTestGroups
        PRIMARY KEY CLUSTERED
        IDENTITY(1,1)
    , SessionID int NOT NULL
    , TestID bigint NOT NULL
    , [Group] tinyint NOT NULL
    , InsertDate datetime NOT NULL
);

GO
CREATE PROCEDURE dbo.InsertSession
(
    @SessionGUID uniqueidentifier
    , @TestID bigint
    , @Group tinyint
)
AS
BEGIN
    INSERT INTO dbo.SessionSurrogate (SessionGUID)
    OUTPUT INSERTED.SessionID, @TestID, @Group, GETDATE()
    INTO dbo.UserTestGroups (SessionID, TestID, [Group], InsertDate)
    OUTPUT INSERTED.SessionID
    VALUES (@SessionGUID);
END;
GO


You'd then insert data like:

DECLARE @SessGUID uniqueidentifier = NEWID();
DECLARE @TestID bigint = 42;
DECLARE @Group tinyint = 6;
EXEC dbo.InsertSession @SessGUID, @TestID, @Group;


The benefit here is you're only causing fragmentation on a single table with a very narrow row width (20 bytes), offering somewhere around 400 rows per page.  The stored procedure above is very compact and outputs the generated int for you to use later, if necessary.