Depends on the grill material. Also, it depends on the speaker configuration. My planar speakers, MG1.6, have woven grill cloth that is very transparent, but besides that the planar diaphram movement is so small and the audio pressures so small that I don't think the grill cloth has any effect. With cone speakers, it is usual to see the grill cloth vibrating in front of the woofer, and that vibration cannot happen without soaking some energy out of the audio.