You can use all the mentioned features with type: 'select' without html string.
1) attr: "multiple" makes it multiple select list.
2) groupIndx adds grouping to select list based on optgroup.
I've created an example jsfiddle for you that contains both the above features.
http://jsfiddle.net/b6b710mz/100/Though there seems to be an issue with filter.type: callback variant which prevents select2 from openiing, I've submitted it in the bug log, it would be fixed in the next version.
But I can't guarantee that select2 plugin would work seamlessly even after the fix as there should be an option in select2 to copy the name and classes from native select to its container which I couldn't see in select2 documentation unless I missed something. Probably you can throw more light on this.
Please note ( or I suppose that you might be already aware ) that there is an error in 2.1.0 with select2 too.
It is recommended to use pqSelect in pqGrid as it's not possible for us to test every plugin out there. If you miss or want to see more features in pqSelect, please let us know. We don't discourage using 3rd party plugins, in fact we design our API so that any plugin can be used but there are few basic requirements for a plugin to work in pqGrid, if it doesn't fulfill them, it gets difficult to help.