I'd like to suggest a visual aid for control group management.
I first observed this in Command & Conquer's Red Alert game, and I thought it would be quite helpful.

So doing some quick photoshop work I present to you guys some rough design:

If you don't like the large numbers, we can reduce them to a smaller one. If you don't like it at all you can disable it.

It is may also be possible to indicate the hotkey:

I think just having the hotkey instead would be better, I personally use numbers 1-6 for my control group.
The position of the numbers can be placed anywhere, you guys can suggest an optimal position for it (bottom left/top right/over the HP bar etc.) if you want.

What do you guys think?