The groups are meant for availability of all the components as a whole. if you want to be notified when any of your WAN links go down, what I would recommend is create a Interface custom property call 'LinkType' or something similar, maybe with drop down options like 'WAN', 'LAN', etc. Assign the value WAN to your WAN interfaces. You alert would then look like
Type of property to monitor: Intefaces
alert me when all of the conditions apply
Interface Status is equal to down
LinkType is equal to WAN