In ArcMap, yes, there's a bug/known limit that the grids and graticule wizard doesn't handle geographic/datum transformations. So a grid or a graticule in a 2nd GCS is not displayed properly. One thing to try is to use the tools instead (Makes Grids and Graticules layer tool in the cartography toolset). They create the grids and graticule differently.....although a Technical Support contact says that doesn't work either. She says you would have to create a second data frame in the other PCS/GCS create it there, then overlay it exactly in the layer frame.
Another possibility is to create the grid with Fishnet tool but then you have to label it yourself.