You don't have sufficient permissions. This operation can only be performed by a manager of the group

When you run the following Powershell command to grant  user sending on behalf of a distribution group:
Set-DistributionGroup "your distribution group" -GrantSendOnBehalfTo Lionel.Messi
You receive the following message
"You don't have sufficient permissions. This operation can only be performed by a manager of the group"

Assuming that you have Exchange 2010 with SP1, you must do the following:
- Install RU3 or later for exchange 2010 (RU5 is out now)
- Execute the following Powershell command:
update-recipient <Group Name>