[Bug]: UI should support creating nested Connection Groups

### Description

*Description*
Nested connection groups can currently be created in Object Explorer by dragging one group into another. However, this functionality is not discoverable in the UI.

*Current behavior*
The only way to create a nested connection group is to drag an existing group into another group in Object Explorer.

*Expected behavior*
The UI should provide a clearer way to create nested connection groups, such as:

Adding an "Add Connection Group" command when right-clicking a group in Object Explorer, or

Allowing the parent group to be specified in the New Connection Group dialog.

This would make nested group creation more discoverable and consistent with other Object Explorer actions.

### Steps to Reproduce

1. Try to created nested connection groups

Expected: Supported intuitively

Actual: Need to create two top-level groups and drag on into the other

### Affected Area

- [ ] Connection dialog (SQL Server | Azure browse/Fabric browse)
- [ ] Query editor
- [ ] Query results panel
- [x] Object Explorer
- [ ] GitHub Copilot integration
- [ ] Preview/Edit data
- [ ] Table Designer
- [ ] Schema Designer
- [ ] Schema Compare
- [ ] Local SQL Server Container provisioning
- [ ] SQL database in Fabric provisioning
- [ ] DACPAC/BACPAC export/import
- [ ] SQL Database projects
- [ ] Query Plan Visualizer
- [ ] Other (please describe below)

### If you selected "Other", please describe the affected area

_No response_

### Environment Information

Latest

### Confirmation

- [x] I have searched existing issues and couldn't find a match
- [ ] I want to work on this issue

Start by reproducing nested connection-group creation in Object Explorer and review the existing drag-and-drop behavior. Then inspect the New Connection Group dialog and the group context-menu actions to determine where the clearer entry point belongs. Done means users can create a nested group without first creating two top-level groups and dragging one into the other.

Written by the indexing model from the issue text.