Notify groups can be configured in both the UI and YAML, but each method only applies to a certain group of notification integrations.
Notifications are undergoing changes to move away from being platform/service-based to being entity-based. Currently these changes have only been made for a subset of the more basic notification integrations. The notify groups that can be created in the UI will only work for this subset.
The majority of notification integrations are still platform-based, so their groups must be configured in YAML. It seems highly unlikely that anyone will waste the development time it would take to build a separate UI method for platform-based notification integrations, and that such a thing would be added to core, when that time could possibly be used to help with the ongoing migration efforts.