There are two ways: the first is to do it the ‘hardware’ way: you can insert two zone wires into the same port, and those two zones will always turn on or off together (they are parallel).
The other way is what you’ve already experimented with, the ‘software’ way: you can set each zone as ‘parallel’ zone (uncheck the ‘sequential’ flag). Keep in mind that any ‘parallel’ zone is allowed to run at the same time with other zones. So if you want zones 1 and 2 to run together, 3 and 4 to run together, then you will need two programs, one for zones 1 and 2, give the start time; then a second program for zones 3 and 4, give the start time (this will be some time after the start time of the first program if you don’t want all 4 to run at the same time).
If the two programs have the same start time, then zone 3 will always run together with zones 1 and 2, whether zone 3 is sequential or not. The reason is that ‘sequential’ only work with other sequential zones, any parallel zone will run whenever they are programmed to run. So the only way to separate group 1-2 and 3-4 would be to give the two programs different start times.