Hello there !
I just found the same bug in my code, and it seems to be a bug in jqgrid, happening when a grid is loaded into a “closed” tab or accordion part.
With exactly the same code and the same data from the server, everything is fine in FF and Chrome, but in IE (6 in my case) the “Loading…” message box remains on top of the grid, but only the box. The text message itself is hidden :

Again, this problem occurs only into a block not displayed while the grid is loading. For example, in the active tab of a tabs group, the message would properly disappear.
Hope these precisions will help to understand the problem.