Grille is done after the cement and wiring works and after painting. The first two are messy and dusty so the grilles should not be up before that. As for painting; I think it is easier for them to paint without grilles so that is why they do that first.
Agree, generally grille should be after painting as with most renovation of new or major re-renovation, the grille will make it more difficult to paint, as they get in the way and they might get tainted by paints.
Painting should be after electrical. Once grille is up after painting, built-in fittings then light, your contractors and ID should be able to advice you on the workflow.