I'm fairly sure that Mary is correct, but Henry is a problem.
In 1841 there are a lot of Grindrods in Saddleworth, all born in Yorkshire, but no Henry.
But 1851 shows a different picture with some from 1841 now listed as born Lancashire. And Henry is now there born in Bolton.
I think Henry and Sarah is wrong because their son Henry was born in 1830 (1841 census).
The only solution is to find Henry about 1826 in Bolton.