Hi @pl1 and welcome to the Cayenne Community!
Now that we have the Cayenne 'Bring Your Own Thing' MQTT API in place, so long as you're able to access the data from the grove shield/sensor outside of Cayenne in your Arduino sketch code, you should be able to write code to interact sensors and actuators on it via MQTT.
If you look in the Arduino MQTT section, you can see an example where we connect an Arduino to Cayenne this way, and then interact with a sensor and actuator. You can extend on this example by plugging in your own readings/actuators from the grove shield.
We will keep the Grove Shield in consideration for future inclusion to the Cayenne UI, of course.