Is this not possible? I thought it used to be with the pattern window. Using the drag and drop only enables separate clips horizontally or vertically in Ableton as far as I can tell.
You have to have all the sounds outputtng to the same midi channel and use the transpose function. If you right click on the group header you can select batch midi and choose sounds to MIDI notes, then when you use the drag and drop function it comes in as one clip.