While creating Full Text Catalog, if "on filegroup" is specified - it creates the catalog on this file, but on MSDN I read "On Filegroup" clause has no affect?
In SQL Server 2005 and prior, you could specify the filegroup for full text.
In SQL Server 2008 and newer, full text is completely different, and the ON FILEGROUP stuff doesn't matter. However, Microsoft doesn't just rip out syntax - they deprecate it, and a few versions later, it'll disappear. (Backup log with truncate_only is a good example of this.) This gives you time to clean up your scripts before the syntax disappears.
Starting in SQL Server 2008, full text catalogs are now virtual and filegroups are associated with the full text index instead of the catalog:
The ON FILEGROUP clause still exists (for backwards compatibility with existing scripts), but has no effect.
However, the filegroup option is now available for the full-text index itself. Therefore, instead of creating multiple catalogs--one for each file group--you can create one catalog and specify the filegroup for each full text index.
Basically, they have moved the filegroup mapping from the Catalog level to the Index level to allow for fewer catalogs and finer control.