Yes. Initial groups can have attachments when deployed (that is during setting up the mission).
Could you explain your reasoning. Your way makes sense thematically but we decided you couldn't put attachments on setup troops as they weren't being deployed (in the way the rules talk about deployment) I don't have the rules to hand so I'm sorry I can't better explain my reasoning.
Attachment, Rules Reference, page 5:
"When the Imperial player deploys figures to the map, he may take one or more “Attachment” cards and place it on the figure’s corresponding Deployment card. The ability on the card applies to all figures in the group."
Mission Setup, Rules Reference, page 18:
Step 3: "The Imperial player takes all Deployment cards and sorts them into groups as listed in the “Deployment and Setup” box of the mission rules. This box has up to four different elements:
-- Initial Groups: He takes the listed Deployment cards and places them faceup on the table."
Step 4: "Deploy Imperial Figures: The Imperial player deploys figures on the map as indicated in the diagram."
So my understanding is that when setting up any mission, the Imperial player takes the Initial Groups deployment cards in step 3 and then Deploys them as indicated on the mission map in step 4. Attachments are attached when the figures are deployed, per the attachment rules.