With Groove we've taken a simplified approach to priority: either something is a priority, or it's not. There are no varying degrees of priority.
Priority conversations are represented by a star in Groove.
To mark a conversation as a priority, click the star priority button at the top of the page.
Or to star more than one conversation at a time, select them from the list and then use the star priority button that appears in the center of the page.
Searching for Priority Conversations
You can search for priority conversations using the is:starred search qualifier. Combine this with other qualifiers like assignee:name to narrow down the results.
Creating a Priority Folder
In your Settings > Conversations > Folders you can create a folder to show your priority conversations. You'll want to use the "Starred is True" condition when setting this up and then you can combine with other conditions as needed.