Does the meaning change with "pro-" in front of "democracy? I think it's okay to just using "democracy"!
The meaning does change with "pro-" in front of "democracy". "Pro-" in front of a word means "in favor of", so a "pro-democracy group" refers to a group that supports and advocates for democracy. Only saying "democracy group" could be acceptable, but it is less specific than "pro-democracy group". For example, a "democracy group" could describe a group that practices democracy within the group rather than advocating for democracy in general.