IntelliJ IDEA expects the standard Groovy SDK layout which is provided with the official distributions available at https://groovy.apache.org/download.html. Just download, unpack into any directory, specify this directory as the library home.
Homebrew package layout may be different, however it may have the standard layout in the libexec subdirectory in some cases. Try /usr/local/opt/groovy/libexec (use Cmd + Shift + G to navigate to it).