I just tried grouping 2 Static Meshes in the world. Their pivot forms between the both of them, and if I enable Snapping option, the pivot even snaps. The only issue that comes is, that its not necessary and actually very rare that the pivot will form on the Grid lines, because its calculating the average distance between every Mesh in the group while forming the pivot and the average won’t always come on the grid itself. I sorted this problem in a very simple way: switched snapping Off, zoomed in to the lowest possible unit, aligned the pivot to the Grid line, and then simply switched the Snap back on. And it works. A group snapping to the grid.
If your particular meshes are not snapping on the other hand, make sure you always keep the size in Units of power or 2 or something like that while making the meshes. For example, 64, 128, 256. Even 96 works. I remember the usual height of a player in UDK being 96 units.
Hope this info helps. 