it would be nice to be able to export each [selected] xara object as it's own PSD layer all within a PSD layer group - but I don't think you can

you can always concatenate in Photoshop afterwards; that is, export each set of PSD layers that you want as a 'group' as a seperate PSD file and put it together in PS - not much fun if you want nested groups of more than one level though....