Yes, it was removed in MSN Messenger 8.0.
But it is also correct that there isn't a way to import the saved group file back into a new group.
You can only import the file as 'loose' contacts, the group name and group info isn't saved. Of course you could move the imported contacts to a group afterwards.
Although it was removed since MSN Messenger 8.0, it still exists in MSN Messenger 7.0.0820, which is still supported and can still be
downloaded from Microsoft Download Center and installed. However you first need to uninstall your latest Messenger version in order to be able to install MSN Messenger 7.0.
To uninstall Windows Live Messenger 14 you need to go to your Add/Remove software and choose "Windows Live Essentials". (If you still also have "Windows Live Messenger" in the list you need uninstall that first!).