The groups still exist in Maxthon 2.0 - Maxthon 2.x

From Maxthon Wiki

If you want to import opening tabs from Maxthon 1.X, you can save them to a group in Maxthon 1.X, and then import the group to Maxthon 2.0.

Groups have better integration with favorites, more secure and private (encoded), can be managed with a friendly way, can be converted to a folder, saved to the Online services, While sessions are less friendly to manage, Saves the scroll position of opened tabs and their back/forward history, Not private (content can be seen easily using notepad).