They do, but I believe the OP is intended for you to put other non PD weapons into the group that would essentially ignore their feelings towards attacking ships sometimes and instead prioritize fighters and missiles (although the missiles you'd still need proper PD weapons or the Integrated Point Defense hull mod or whatever for the small weapons) if in range. Something to that effect, I think.
Personally, I think this could still be done by having some sort of basic targeting order for ships that would allow you to prioritize what you feel should be done. If you have a ship where you don't fear ships and missiles, but fighters, being able to have that ship change it's priorities to [ fighters > missiles > ships ] would be nice and that it would apply to any and all weapons capable of tracking those targets. That way all your weapons would say target fighters given the chance, and then ships. PD weapons would naturally be able to target the fighters, then worry about missiles, then ships... that way you could also really create say "PD frigates" that would use all its capabilities to target [ fighters > missiles > ships ]. Or how about a torpedo frigate where you want to prioritize [ ship > fighters > missiles ] Then you could have capital ships maybe go [ missiles > ships > fighters ] or whatever. Putting that selection at the bottom of the refit screen might work, because it'd be down there with customizing ship name and it's "role" name. Also, you wouldn't lose the ability to control your weapons manually if you decide in the middle of combat that want or need to aim them yourself as the OP's weapon group could result in.