You have described the project group feature which is not implemented yet.
It is implemented, and implemented well.
You have to install the ProjectGroups package to get the benefit of it - the Project menu does not have group functionality in the default Lazarus IDE.
OK, first impressions.
1) it is badly designed almost unusable.
A project group is part of the IDE not simple a list of projects. Opening a project it should automatically open the last active project of the group. not a window with a project list that you can double click to open the project you like.
2) the project group window it should be part of the project inspector or replace the object inspector not a 3rd window that when closed you are left with the active project to work.
3) when a project group is closed all projects in that group are closed as well.
4) when a new project group is created all active projects should be closed or ask the user if he wants to add the active project in the new group if it is not part of the project group it replaces.
It looks like a solid implementation so far but it only supports half the functionality of a project group, but hey I can somehow group projects together at least. I'll not be using it much, mostly because it is just an other layer on top of the existing onion, there is no point in selecting "open project group" to double click the project I want to load, instead of selecting open project and save my self a double click (at least).
Good start never the less.
PS.
It is part of lazarus 1.6.4 I can't speak of earlier versions.