> If I create a separate group for each program I want to allow, is there 
> any additional risk induce by the use of the setgid?

Yes, it introduces a risk.

You are providing a program with an additional gid.  The program has
not been coded be aware of that gid.  Two potentially different
filesystem views now exist within the program, depending on the g=rwx
bits of directories and files in the tre.  The program is no longer
operating in a world-view it was designed for.  

setuid and setgid aren't things one enables on unprepared code.

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