\documentclass{article}

\usepackage[enable-debug]{expl3}

\ExplSyntaxOn
\debug_on:n { all }
\ExplSyntaxOff

\usepackage{mkessler-groupthm}

\GenerateTheoremVariants[ group = {star, dagger} ]{example}

\DeclareTheoremVariants{example} { !s !t+ }
{
  \IfBooleanT{#1}
  {
    \AddTheoremToGroup { star }
  }
  \IfBooleanT{#2}
  {
    \AddTheoremToGroup { dagger }
  }
}

\begin{document}


\begin{example}
  test
\end{example}

\begin{example}+
  test
\end{example}

\begin{example}*
  test
\end{example}

\begin{example}*+
  test
\end{example}

\begin{example*}
  test
\end{example*}

  
\end{document}
