My Grandson loves for me to hold him (he just turned 2) when he is tired but I know he loves his parents very much. Parents have to be the bad guys at times in order to raise their children right. It is so nice not to have that responsibility with this little guy. The relationship with a Grandchild is so much different. I wish I would've had a decent relationship with my Grandparents when I was little. I wish my children had Grandparents to spend time with now.
You sound like a concerned, loving parent and I'm sure that your son loves you very much, but Grandma is just a safe place to turn where he can do no wrong. I hope you have somewhere like this to turn to yourself.
My son use to do that with me. Its because granmas don't punish, they let the kids get away with more then what you would. This is normal, I know its hard and makes you feel bad. I have been there. It doesnt mean he dont love you to. Just don't let it get to you.