So the official answer is: VCL Style has fixed structure and you can't add new objects as in FMX Style. You can create new VCL Style and use per-control styling (TControl.StyleName property).

If you want to use your style for group box then change "GroupBox" object in MyStyle.vsf ("MyStyle" style name, for example). Add your style to the project and set TGroupBox.StyleName = 'MyStyle'.