A new KB article (2877941) was released today (FAST PUBLISH type) regarding adding Domain Local groups to the User Groups section of a Session Collection. Apparently, this is not supported yet, but will be added in Windows Server 2012 R2.
“…Consider the following scenario:
1. Click on a VDI collection (Personal or Pooled)
2. Click Task, then click “Edit properties”
3. In the opened window of the collection properties, click “User Groups”
4. Add a group, the type is "Security Group - Domain Local"
5. Click OK, we see error "Invalid parameter"
This is a known limitation with Windows Server 2012, There is no workarounds other than using other group types. This issue will be fix in Server 2012 R2…”