My personal experience with focusing wide open and then stopping down a couple of stops, is that there is an extremely small focus shift.
This shift is noticable in the prints produced, but not really easily detected when looking through the grain focuser.
I have had quite a few sessions with my Opthalmologist in the last few years. Lately I have been in discussion with her regarding this actual subject, my sister in-law in Germany is married to an Opthalmologist and he and I have had some interesting discusions regarding just what the eye can and supposedly cannot see.
My experience in my own darkroom is that there is a difference using a BG filter and I'm waiting the use of an APO enlarging lens to test another theory that was suggested in the above mentioned thread.
As far as focusing with multigrade filters in place, I wouldn't think it's a good idea, various reasons, but the most compelling came from my Opthalmologist who suggested that the wavelength they are situated in is a difficult one for the human eye to see in, therefore our judgement of correct focus is more than likely going to be shifted slightly.
This shift in focus, is a like shift in focus that I believe happens when I use the BG filter on my grain focuser.
Mick.