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If you’re using at least one block storage and updating GRUB, you’ll be asked to continue without installing it on /dev/sda (which is normally your block storage device).
If so, answer yes. If not, read @jtittle1’s detailed answer.
Normally when apt-get upgrade is ran and there’s a conflict, a dialog will pop up asking if you want to install the new version or keep the current. In such a case, unless you’re sure you know what you’re doing, you want to keep the current.
DigitalOcean doesn’t allow changes to the kernel to be made and Grub can allow you to do that, but it will most likely fail or be reverted by the internals of DigitalOcean’s systems.
That said, will it cause issues if it fails? If it failed and you’re not seeing errors pop up in the system log, you should be fine. Of course, you don’t really need to install Grub to block storage devices as your kernel isn’t going to be located on those devices. All your primary directories, such as /boot, are going to be on the primary drive for your Droplet which is normally /dev/vda which is partitioned accordingly with /dev/vda1 normally being the largest partition for your Droplet.