Well, if I am understanding you correctly, you can already hold the control key down and left-click to select multiple units to move as a group.  The only problem I have had with this, is when you mouse over, you only get one unit's stats until the end of the turn or some thing happens.  Even when I get them out as a unit, I tend to wind up moving one unit from the group at a time.  I have no idea how the group loses it conhesiveness though.

I feel that rather than the tiny hard to hit arrow, there should be a separate button to make them leave the city, similar to the "Launch Ship" button in Gal Civ. Either that or a button that boots all the units out (maybe allowing you to select the square you want them to go to) would be a useful addition to the UI.

Once you control-click to select a group of units, you don't have to click on the little arrow.  Just right click where you want them to go, and they'll all exit simultaneously.

As for parties/squads/companies, units must be recruited/trained as a party/squad/company in order to be one.