I do see what you're describing... even when a floor is rotated (vs. the building) in Floor Manager the grid remains orthogonal to the global orientation. I'm not entirely sure why or whether grids are intended to follow floor rotation - I can't say I've ever tried before now - but perhaps others have come across this before.
In the interim, I would suggest changing the grid's rotation in the Grid Systems dialog.
In the interim, I would suggest changing the grid's rotation in the Grid Systems dialog.