There are several things you can try, depending on how truly you want to stay in your idea and how much work you are willing to put into work:
Simple method
Use a normal group box, and then inside this check the box in the first item. This is easy to do, but you lose the goal of having the checkbox as the title.
Funny drawing method 1
Use a normal group block, and then in the space where you know the header should go, put your flag. You will need to perform some tricky calculation so that it fits well and draws well without flickering.
Funny drawing method 2
Use superclass or subclass / subclass in group field. You can override the WM_PAINT handler to draw only a border for a group field. Check the normal box where you know the title should go. This should work better because you will have more control over the drawing, but it will most likely be difficult to get the right. In my experience, subclassification is lower than for superclassification.
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