Where in file structure does this folder go?
It gets created in the root folder for the library
If you have your movie library pointing to
e:\Movies
Then the .grab folder would automatically get created at
e:\Movies.grab
I have a external hard drive named Video. When opened, there are 3 folders. Names are .grab, TV Episodes and Movies. Should .grab be in TV Episodes and Movies?
Bill
The .grab folder will be in the root of any directory that you store recordings to
eg, these are the folders for my Movie library

Both have the .grab folder in them
IF you have libraries that point to TV Episodes & Movies, then schedule a recording into one of those libraries, a .grab should be created
thanks. in my system the folder is names .grab. Is it more correct to name it movies.grab and TV Episodes.grab?
You don’t need to name it anything
It is automatically created by the Plex DVR
Recordings are stored in the .grab folder while the recording is in progress, then when the recording finishes, the file gets moved into the correct folder in the library