I don't understand your question about grid.jqueryui.js. It's just one from modules of jqGrid. If you download jqGrid you can unselect (remove) some modules which you definitively not use. Per default all module are selected, so grid.jqueryui.js is inside of jquery.jqGrid.min.js or jquery.jqGrid.src.js.
The demo which you posted seems to me independent from your question. You use sortable: true option in the grid which implementation is inside of grid.jqueryui.js