So then answer this: what does Grymm give Callista? Not theory, actual substance: how is she used by Callista? What part of Callista's plan is advanced, or more specifically: what is the result from the information and direction she gives Grymm?
While Callista refuses to use video communication, evidence suggests that Grymm does know who her benefactor is. She knows that Queen is very familiar with her, her character, her father, that she knew him well years ago, knows history of the Karlsson empire, and current interior workings of the Board, but is not on the Board, knows that Elena is Olivia's mother, and knows when Elena found out despite it's secret, she knows the siblings, knows who #7 is and how they'll vote, and she knows the whole Gambit plan. Considering Grymm mentions Elena in the third person, and that she will support Olivia, which Queen is showing she's supporting Alessandra, means Grymm knows Queen is not Elena. Now this certainly sounds like a point to support her not knowing Queen's identity, but she doesn't know Callista, and therefore if she even likes Olivia. With an absent mother, the only concept Grymm has of a parent is Alexander, and she knows what he did/try to do to Astrid, so if he abandoned his own blood, why should Callista, in Grymm's mind, support a non-daughter?