Azure SQL | Granting Security Groups DB Role permissions
After more reviewing of this question, I was able to find that the syntax to add Security Groups in Azure SQL is below
CREATE USER [Group Display Name] FROM EXTERNAL PROVIDER;

You can confirm with one of Microsoft's articles
To create a contained database user representing an Azure AD or federated domain group, provide the display name of a security group:
CREATE USER [ICU Nurses] FROM EXTERNAL PROVIDER;
And here is a second article that covers this topic. There is no CREATE GROUP syntax. To add a Sec Group it's done by using the CREATE USER syntax.
After which, you can proceed to run the ALTER ROLE command and use the display name of the Group to add the Group to the database role.