To bing some ToggleButton to the ToggleGroup I need to call setToggleGroup() from ToggleButton side.

Toggle Group has method:

getToggles
public final ObservableList<Toggle> getToggles()
The list of toggles within the ToggleGroup.

As list Observable, I can wish to put some ToggleButton there directly. And this is possible. And this not make any influence on ToggleButton.