Definitely odd. I'd suggest running the wire directly (through a fuse, of course) to the battery -- at least temporarily to test it. The taillight circuit may not be able to handle the extra load. You'll need around a 4AMP fuse, so technically any wire 18ga or larger (lower number) is sufficient.
You've probably already gone over this with Bones, but just to make sure: The supply (from the battery/taillight, whatever) should go to the middle connector on the switch. The wire with the inline resistor (the white box) should be attached to the connector on the switch that is on the opposite side of the toggle switch when it is in the low position. If you wired the supply circuit to one of the outside connectors, it will only work in one position and the other will not be on so it may feel the same but the grips are still warm.
Note that the grips should warm up fairly quickly, but they normally take some extra time to cool down. Also, heated grips are very sensitive to voltage changes. Not that it damages them, it just changes the amount of heat they put off. Putting a good regulator on them will help to eliminate this if it's a problem. This could also be a sign of a weak battery or faulty regulator on your bike, though some voltage change is normal.
Just throwing these ideas out there. Good luck in your troubleshooting.