I recommend switching to Z-Wave JS UI as it is super simple to set association groups with the UI. HA doesn’t support it currently in the UI. Here’s a guide to switch:
Otherwise to do this in HA you will need to figure out yourself whether you need to create the association with the Association CC or Multi Channel Association CC, choose the correct API based on the CC, and use the zwave_js.invoke_cc_api low-level integration action to perform the association, filling in all the required parameters and values.