Thanks Gregory,
you are correct: my expectation is to playback a grace note (more precisely, an “acciaccatura”) even when it is on the first beat of any measure. Actually this problem only shows up when using a “playback-from-selected-bar” command, in order to play from a specific measure.
I use this play mode a lot, to interactively test the best ornaments for arrangements in the composition phase, especially for classic and electric guitar.
I just found another post (Grace note playback - #2 by Rob_Tuley) which explains that Dorico treats slashed grace notes (“acciaccatura”) as PRE-BEAT execution notes. This (I believe) causes the first slashed grace note on a selected bar to belong to the previous bar. The post suggests the workaround of changing the slashed note to unslashed (making the acciaccatura an “appoggiatura”). This worked for me (thanks Rob_Tuley!), with the caveat that the final notation score should be edited before printing, because it may not be consistent with the intended musical execution.
Since my issue is more similar to the one mentioned in the above post, I will add more comments to that post in the next days.