I have had a good look at the CustomDraw units, and there seem to be two ways to proceed, either to fully implement the Properties property, or to patch in a simple property to hold the GridLines state.
It would be nice to have some feedback on which route would be the preferred method, especially as either will require a similar patch to the ControlStateEx property, so that the GridLines state can be passed to the CustomDrawer, which is decoupled from the component.