A key set group is a collection of one or more key sets. A key set is the collection of one or more keystores. A keystore is a file that contains one or more public certificate and the corresponding private key (aka key pair).
Key set groups can be viewed by navigating to Security > SSL certificate and key management > Key set groups. Fortunately, WebSphere uses Lightweight Third Party Authentication (LTPA) by default, and LTPA uses a key set group, CellLTPAKeySetGroup, thus there should always be a key set group on the system.
Selecting a key set group will display the key sets in the key set group. In this example, the CellLTPAKeySetGroup contains two key sets, CellLTPAKeyPair and CellLTPASecret.
Refer to Key sets in WebSphere - Getting Started to learn more about key sets.