They have to be in ogg format. It works if they are called Track02.ogg … Track15.ogg in a subdirectory called music of the folder that contains the grp file.
Thanks very much @Manuel-K, much appreciated. Works fine now. I also had a problem in that ffmpeg did not convert the .flac files correctly, whereas oggenc did.
On Linux it accepts lowercase names too, e.g., "track02.ogg" and "Track02.ogg" both work; presumably a way of dealing with files that could have come from a Windows installation.