It is not quite as straight-forward as in ArcGIS to group values. The symbology rules actually have options that are more powerful than ArcGIS, as you can have Rule-Based Symbology.
In the Layer Properties window, on the Style tab, change the pull-down from Categorized, to Rule-Based. That will change the window to show different classes with Rules and Labels.
Once in this window, you can add different Rule Classes with the "Add Button"
This window lets you define the Label for the Class, and then enter the filter, which is essentially an SQL query on your layer. click the "..." button to bring up the query builder.
Define your filters here, querying the values you want based on one or multiple attributes.
As I said, it is not as simple as selecting classes in ArcGIS and grouping them together, but I think it is ultimately more powerful.