Interesting, that the documentation (or at least the page referenced in this question) never once mentions filegroup restore. I thought that filegroup restore was possible, but (since DBA is not my primary task) decided to check BOL first. I came across the exact page referenced in the answer, noticed no mention of restoring at the filegroup level, so decided to untick this option.
Ah well. Points lost, but lesson learned - now I hope I'll never have the opportunity to reinforce this knowledge in my job. 😉