This is very clearly spelled out in Books Online (BOL) under the topic default schemas. You cannot set a default schema for a windows group.
From Books Online:
If DEFAULT_SCHEMA is left undefined, the user will have dbo as its default schema. DEFAULT_SCHEMA can be set to a schema that does not currently occur in the database. Therefore, you can assign a DEFAULT_SCHEMA to a user before that schema is created. DEFAULT_SCHEMA cannot be specified for a user who is mapped to a Windows group, a certificate, or an asymmetric key.
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