According to this site:
Control groups are lists of objects that share common archive characteristics.
The site has a lot more information about BMRS. More information can be found here.
To put it in simpler terms – a BRMS “control group” defines what you want BRMS to do when it runs a backup process. BRMS comes with three “default” groups – *BKUGRP to back up all user data, *SYSGRP to back up all system data, and *SYSTEM to back up the entire box.
You can define your own groups, it is easiest to copy an existing group and modify the copy. I generally start with the *BKUGRP as it already is set up to backup user data