Grass-feeding livestock mainly affects the fat composition of the meat and milk. Whey protein powders usually contain very little fat.
The reason that being grass-fed is not important for whey protein is that whey protein has a fixed amino acid sequence. This will not change whether the cow is grass-fed or grain-fed. So grass-fed whey protein is essentially the same as grain-fed whey protein.
The only question is whether other substances, such as antibiotics and exogenous hormones, survive the whey isolation and concentration processes in any significant quantity. I don't know the definitive answer to that question. If you're sufficiently concerned, look for antibiotic and hormone-free whey protein (such as organic), but don't worry about grass-fed.
Edit: Here's a sample of pricing of the various types of whey powders:
1) US Wellness (grass-fed)--$40 for 600gm, or $30 per lb.
2) Bob's Red Mill (organic)--$40 for 48oz, or $13.33 per lb.
3) Optimal Nutrition (conventional)--$41 for 5lb., or $8.20 per lb.
You can decide your own risk/reward to see if any of these products are worth it. Remember that whey powder is a processed, non-paleo product.