@sandip_surse if you do not see + next to the Object, then it doesn't allow you to add.

Based on the current AEP instance I do not see + next to Marketing Preferences. Looks like Adobe changed something recently. I validated with other OOB Field Groups eg: websdk, and that does allow you to add fields at different levels. So looks like it needs to be enabled by Adobe.
Alternatively, give a try using API - https://developer.adobe.com/experience-platform-apis/references/schema-registry/#tag/Field-groups/op... and see if that works out. Also, do raise an Adobe ticket to understand what changed recently.