No matter what I do, I can't get the Option Group Wizard to appear.
Because you're adding a bound object frame, not an option frame, and there's no wizard for that. Both have XYZ in the image, but the object frame shows something like a mountain too.
In case you missed it, if not using the wizard, you must add the option frame first, make sure it's active, then select the option button from the control group. When you mouse over the frame, it will go black. Now you know the button will be associated with the frame. If this doesn't happen, you didn't select the frame before adding the button, and you will have un-associated buttons inside a frame. Remember also that if writing code based on a selection, the frame gets the option value and that is what you're checking - not the option button itself.
If you use the correct frame and have the control wizard turned on, you should get the wizard, which will prompt you to add the label values first.
EDIT: "Because you're adding a bound object frame, not an option frame," forgot to say that I figure this is your problem because your image shows OLEBOUND, not to mention that you say so in your post. I think my esteemed peers missed that.
The more we hear silence, the more we begin to think about our value in this universe.
Paraphrase of Professor Brian Cox.