We're a school and we use MR42's. We have one main SSID that ours users sign in to. We have Umbrella linked to our Meraki management. We have different Umbrella policies for different user types, such as staff, faculty, high school students, middle and lower school students. We have 802.11x authentication set up, which passes the relevant users VLAN back to the Meraki management, and from that the relevant Meraki Group Policy is applied.
In the Meraki management I can specify that each Meraki Group Policy be associated with an Umbrella policy, however if I do this it breaks the local DNS. I contacted Umbrella, who said that this was expected behavior, and they said I should ask Meraki to add a feature where you can bypass Umbrella protection for certain domains for each Group Policy, much like the one available to bypass Umbrella protection in the Firewall & traffic shaping.
Without this there seem to be few instances where applying an Umbrella policy to a Meraki Group Policy would actually be useful.
Meraki Go is somewhat different from the Meraki enterprise edition. Primarily, Meraki Go does not support group policy as of today. I do believe your feature request remains entirely valid, and should be submitted with the "Make a Wish" feature on dashboard or via your assigned sales representative.