The pixel grid setting uses rasterization. It writes your skeleton images to a grid (you can think of it as an image behind the scenes), then draws that. The pixels in the grid can't be rotated (the grid is screen aligned), so filtering occurs. Filtering will always happen when image pixels don't align to the grid. We need to figure out what value to write to the grid, so we use the closest pixel (nearest, usually used for pixel art) or we can use the average of the image pixels (linear or bicubic smoothing).
Here's spinboy's gun rotated 45 degrees:
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When zoomed in, you can see the pixels drawn are rotated 45 degrees.
Here's the same with pixel grid rendering:
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The pixels from the grid can never be rotated. Filtering has been used to map the rotated pixels to the grid. This distorts the image (filtering always does), but makes for a pixel art style.
Back to your question. When your images are not aligned to the grid, filtering will occur. The thread you linked explains about placing your images so their pixels match the grid and that is likely your problem. Being off by half a pixel means you'll likely lose one whole row or column of pixels.
