The option I am after is named ShowGridLines, available on with Rhino for windows.
That option is not available on Mac as you can see on your snapshot.
Well, the text you show is from, I believe, the help for the Grid document settings and not the Grid command, which is below that and correct… so admittedly it is not 110% as clear as it could be but it is correct in the help for the Grid command.
So, in DocumentProperties > Grid page, as distinct from the Grid command, the property is indeed ‘Show grid lines’ but the Grid command option is ‘ShowGrid’.