On Environment tab on a user (AD settings) I can specify Starting Program, which works correctly. Is there any possibility to do the same but on group level?
You can set the starting program on the RDP protocol connection on the RDS server, but you can't do it at the group level. Note that if you set it at the RDP protocol level on the server that it affects all users connecting to that particular RDP protocol connection on the server. Also, not that you can create multiple RDP protocol connections (bound to different NIC's) so that you can scope your starting program to only those users connecting to the server via a specific ip address (for the RDP connection that you configure the starting program on).