Juerg,
You are right, moving folders into a group is a pain. I often open multiple folders in one contact sheet one at a time as you described. But then there is no indication reminding me what folders are in the group. I like Hayo's idea. Never noticed that Remember Folders as a Favorite feature before on the File menu. I could name the Favorite with some indication about the folders that are included.
Best solution would be adding your feature request, if possible, so we can select multiple folders and then open them in a single sheet, hopefully with the various folders marked/highlighted in the folder list so we know what folders are included in the sheet.
Regards
Bill Wood