That's an issue that's been there a long time, and there have been many topics about it. Basically, after the first item is added to the sketch, the grid will automatically re-size to it. The workaround is to create a large rectangle that is big enough for a "work area" in which the grid will be visible (but you need to close the sketch then re-open it to see the grid re-size). You only have to delete the rectangle once you don't need it anymore.
But FYI, as far as I know most commercial parametric CAD programs with a constraint-based sketcher don't provide a grid at all. It is only there for visual reference. For me the snap-to-grid option is a travesty because it creates the false impression that you sketch is fixed - it is not, only applying constraints will do that.