Not a long-term solution, but I found a way in JENKINS-26192 to make it work in Pipeline global libraries which as a side effect makes it work throughout Jenkins (unless I go to special effort to suppress that).
The issue here is that while Groovy bundles the Grape system, you need to have Ivy in the classpath for it to actually work. workflow-cps-global-lib bundles Ivy for this reasons, so other components could make use of Grape if they follow that class loader (or UberClassLoader). In JENKINS-26635 I had to add an optional dependency to the groovy plugin.