If visual styles are enabled for your application and FlatStyleset to System, group fields look as if they have slightly rounded corners, but probably no more than 3-5 degrees. Therefore, I believe that this is not what you are looking for.
Unfortunately, there is no built-in way to adjust its roundness. The only real solution is to use a custom control. You can either inherit an existing control GroupBox, or override its event Paintto draw borders yourself, or you can use one of these existing controls:
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