What yes ? So extend it and that's it :) I don't see any easier other option. You can extend phalcons' classes. For example you can create MyForm like this:
class MyForm extends Form
{
    private $groups;
    public function initialize()
    {
        $this->groups = array();
         // adding fields
         // creating groups
         $this->addValidationGroup('country',[
             'someField'=>new PresenceOf(array('message' => 'The name is required')),
             'someField1'=>new PresenceOf(array('message' => 'The name is required')),
             'someField2'=>new PresenceOf(array('message' => 'The name is required')),
         ]);
         $this->addValidationGroup('default',[
             'someField3'=>new PresenceOf(array('message' => 'The name is required')),
         ]);
         $this->setValidationGroups('default');
    }
    public function addValidationGroup($name,$arrayOfValidators)
    {
        $this->groups[$name] = $arrayOfValidators;
    }
    private function setValidationGroup($name)
    {
        if(isset($this->groups[$name])){
            foreach($this->groups[$name] as $field => $validator){
                if($this->has($field)){
                    $this->get($field)->addValidator($validator);
                }
            }
        }
    }
    public function setValidationGroups($validationGroups)
    {
        if(is_array($validationGroups)){
            foreach($validationGroups as $name){
                $this->setValidationGroup($name)
            }
        }
        else if(is_string($validationGroups)){
            $this->setValidationGroup($validationGroups)
        }
        else{
            throw new Exception();
        }
    }
}
Well i guess i could possibly add to phalcon Form some code like this - but is it really necessary ?