It's not so much that I want the grilles, I would much prefer not to use them. However, for the last two winters we've had a lovely infestation of stink bugs in the Mid-Atlantic - particularly those of us who live out in the sticks. Every nook they can find they call home, and I'm talking hundreds of them. I'd rather they not be the first recipient of any sound 3000Hz and up.
I've had no instruction or guidance on grilles, I made the presumption they were included. Dennis may confirm.