there are some that say that having the grills on will make them sound better reason being that the engineers designed the speakers with the grills in mind so the filtering that they may do gives the intended sound. on the other hand some say that anything making an obstruction to the sound reaching your ears is bad so take them off if you can. if there are kids or petse around then grills on especially for the sub would be a good idea for protection. try both ways and see if you notice a difference. i personally don't have them on cause my speakers look cooler with them off.
Grills don't have any effect on the long wavelengths of a subwoofer. Grills are often removed from a speaker with a tweeter since the shorter wavelengths at high frequencies can be diminished by the material. Some grills will also cause reflection/refraction problems at the high frequencies. Again this is not a problem with a subwoofer.