This occurs when the interval for the graticule is less than three degrees latitude/longitude and the data frame is rotated. This problem persists even after refreshing the display.
This is a known problem. To speed processing, graticules currently use an algorithm that does not account for rotated data frames if the graticule interval is less than three degrees latitude/longitude.
If possible, select a graticule interval of three degrees latitude/longitude or greater, in the Intervals tab of the Reference System Properties dialog box.