I figured it out. The portfolio grid control is only displaying custom post items (portfolio items). I was expecting it to act like the masonry control. Once I added some portfolio posts the control worked. It would have been nice if the control had said so. Suggest that
“Which categories should be used for the portfolio?You can select multiple categories here. The Page will then show posts from only those categories.” be rewritten to explain that the categories are those on the custom portfolio types.