What's the last row of data in your pivot table source data range, and what do you have defined as the PT source data range in the PT wizard? This is basically checking that you have no blanks in the range as PaddyD suggested.
BEFORE I was trying to group I unsleceted one of the categories of data (Column). Excel would not let me group the dates. When I included all the categories and tried to group is worked fine. I then unselected the column of data I did not want to see and what was left was the data I needed grouped correctly.
That will depend on if you have any blanks in the data range (which I believe you have already confirmed that you do not) or if you have any additional information contained in cells in the A column actually below the data range (for example, if you had a note written below the data, or even if you had a rogue full stop for example in any cell) which would then be included within the COUNTA function and thus extend the dynamic name beyond where it should end.
If you think you don't have anything below your data range, it might be a good idea to select the first empty cell below your data, and extend this selection to the last row ie so An:A65536 where n is the first blank row, and go Edit>Clear>Contents just to make sure. Hopefully this will allow you to Group without problems.