I figured this out. You can just group the whole association, so
instead of
.Add(Projections.GroupProperty("sf.SearchFilterID"), "SearchFilterID")
_
.Add(Projections.GroupProperty("sf.SearchFilterName"),
"SearchFilterName") _
.Add(Projections.GroupProperty("sf.SearchGroup"), "SearchGroup") _
.Add(Projections.GroupProperty("sf.DisplayOrder"), "DisplayOrder") _
You can just use
.Add(Projections.GroupProperty("SearchFilter"), "SearchFilter")