I tested this on 10.3 and got the same result you did. The lines show up in layout view, but not once you export to pdf. It's possible that one of the settings in the export pdf options (and the slightly different arcpy.mapping options) causes this to happen, particularly something to do with compression. I didn't feel like testing them all because I use a different solution.
I have frequently run into issues with ArcGIS's internal pdf writing. I thought that it had been frozen at a particular pdf version and not been updated since, but I can't currently find any official documentation to support that at the moment. I do note that the file created reports pdf version 1.6 (Acrobat 7.x).
As a result, I tend to print to pdf instead of exporting. This uses whatever pdf writer/virtual printer that is installed on your system instead of ArcGIS' writer and gives full access to pdf format options via the print driver. This typically solves any issues I see when using export. The vanishing grid lines appear to be another one - when I printed instead of exported the grid lines were present in the pdf.