DUNE_GRID_EXAMPLE_GRIDS_PATH refers to source directory
dune-grid's CMakeLists.txt contains the following:
set(DUNE_GRID_EXAMPLE_GRIDS_PATH \"@DUNE_MODULE_SRC_DOCDIR@/grids/\")
which refers to a directory in the source tree. For the installed version, this is incorrect.
While at it, I would also suggest not installing the example grids as documentation, but either as (shared) data or, for the header files, as regular header files in the include/ directory.