Maxwell loves his grandparents because they are loving and supportive. There's no language to suggest that he hates his grandparents in the story. In fact, on the very first page Max says, "bless their pointed little heads." He's very happy that they gave him his own space down in the basement, too. When Killer Kane comes to kidnap Max on Christmas Eve, he makes a fuss that the old geezers put his son in a basement like a second-class citizen; but Max likes it.
"I'm still living in the basement, my own private down under, in the little room Grim built for me there. Glued up this cheap paneling, right? It sort of buckles away from the concrete cellar walls. . . but do I complain about the crummy paneling, or the rug that smells like low tide? I do not. Because I like it in the down under, got the place all to myself and no fear of Gram sticking her head in the door. . ." (5).
Even though his killer father doesn't like his room when he sees it, Max loves it! He has a room to call his own and his privacy is respected. This shows that Max isn't greedy or high-maintenance--he's a good kid who appreciates what he has.
Another reason Max loves his grandparents is because they support and believe in him. When he and Freak get caught in mud during the Fourth of July festivities, the police paint him to be a real hero and his grandparents don't mock or doubt him for it. Instead, they give him ice-cream and real coffee. They do their best to treat him like a hero which can do wonders for a teenage boy's ego. His grandmother also treats him like a mother by toweling him off and making a fuss over his well-being. Some guardians ignore or downplay what children do--they could have been angry at him, too, like some other adults might have been-- but they treat him with love and respect all of the time. This makes it a lot easier for Max to love his grandparents.
Finally, Grim and Gram do everything they can to protect Max from his father, Killer Kane. When they hear that Kane is to be released from prison, they slap a restraining order on him so he can't come to the house without legal consequences. Grim even considers getting a gun to defend Gram and Max from Kane breaking into the house. There's nothing Max's grandparents wouldn't do for him, so there's no reason for him not to love them.