A per-worksheet setting, not a per-file one
The gridline color option applies to the specific worksheet you have open when you change it, not automatically to every sheet in the workbook. If you want a consistent look across an entire file, you will need to repeat the steps on each sheet, or copy the formatting sheet by sheet.
Gridlines are a display aid, not printed by default
By default, gridlines only appear on screen to help you line up data as you work; they generally do not appear on a printed page unless you separately enable the "Print" checkbox for gridlines in the Page Layout tab. Changing their on-screen color has no effect on printed output on its own.
Frequently Asked Questions
Will changing gridline color affect other worksheets in the same file?
No. This setting applies only to the worksheet that is active when you make the change; other sheets keep their own gridline color setting.
Can I remove gridlines completely instead of changing their color?
Yes. In the "View" tab, unchecking "Gridlines" hides them entirely for that worksheet, which is a separate option from changing their color.