This is correct behavior. Grace periods are periods in which fines are accrued but not charged.
If the item is returned during the grace period then the bill will not be charged. However if it is checked in after the grace period then the grace period will be included in the bill.
If for example you wish to have zero bills for the first 7 days you will need to configure a bill structure to charge an amount of 0 a day for the first 7 days.