According to the documentation, the constructor requires between 1 and 3 parameters. You need to supply those parameters via the initialization list of your own constructor.
class CMyGridProperty: public CMFCPropertyGridProperty
{
public:
CMyGridProperty(const CString& strGroupName,
DWORD_PTR dwData=0,
BOOL bIsValueList=FALSE)
: CMFCPropertyGridProperty(strGroupName, dwData, bIsValueList)
{
}
};