I was having the same problem, but this did the trick, thank you!
FYI that the written instructions (How To's | Setup Zigbee Binding - Home Assistant (Zigbee2MQTT)) are for ZHA so aren’t updated yet for Z2M; and while the video there does show this step, I overlooked it (the video adds like 9 lights to the group, so I stopped paying attention…showing 2 or 3 lights would be sufficient to get the point across), but that’s my fault.