When creating new host prototype (in Configuration->Hosts/Templates->Discovery->Host prototypes->Create host prototype) it is only possible to select existing host groups:

In contrast, when you create a regular host you can add it to a new host group. (Not showing a screenshot as the interface is subject to change in ZBXNEXT-4152.)
Would be nice to be able to create new host group from host prototype creation form, this may look similar to host mass update: