Hi Peter
There is a mention of the perturbationParameter key in the GRIB load rules, which should result in a DimCoord called 'ensemble_member'. It looks like this isn't happening in your case. I notice this is only activated for GRIB2 files, are you working with GRIB1 or GRIB2? This may need to be fixed in Iris, as it happens the GRIB loading is being completely overhauled over the next few weeks, so now is a good time to raise this issue.
In any case, you might be able to work-around this using a load-time callback as in the example you linked to. Notice a callback takes 3 arguments: cube, field, and filename. You would need to access the perturbationNumber attribute of the field argument. The field argument should be the internal representation of a GRIB message with access to the keys via GIRB API.
I haven't tested any of this, so post back if you have problems with this.