Can you create Outlook Calendar Groups from local calendars?
Not sure what you mean by "local calendars" exactly, but Calendar Groups are actually a feature of Exchange Server, not Outlook (it can just display/modify them, as a client)
So it will only work with Exchange-based email accounts.
From Create, view, or delete a calendar group:
Note: This feature requires a Microsoft Exchange Server account.
From Outlook group calendar solutions:
This feature requires you to use a Microsoft Exchange Server [...] account. Most home and personal accounts do not use Microsoft Exchange.