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Create a select component and use option groups in the options for it. Do not select Listbox. When viewing the form, PHP will issue a warning for each option group and the options inside a group will not display (it will say "Array" where the group should be).
This seems to happen because form_process_radios() does not handle nested options arrays. A proper fix would require this core function to be changed. In the meantime, Webform could insist on using a listbox whenever there are option groups. Thoughts on this solution?