Can you provide screenshots? Here's what I'm trying to outline:
1) from drop down -> choose multiple top folders option
2) the folders should get checkboxes next to them
Groups and folders are separate organizational aspects in AirWave. Groups are added from the group tab, but folders are added from the Devices list at the bottom of the page (just trying to make the distinction between folders and groups clear). For folders: navigate to Devices tab (historically AP/Devices) and scroll to the bottom of the page to check your folder structure:
As it sounds to me like you have several groups, but just 1 folder if you're only able to select 1. In which case if you only have 1 folder, you'll have to create folders and move the devices into the proper folder tree before defining the roles.