I am not sure I have ever grieved about any celeb or famous person that has passed on. Momentarily saddened perhaps, but thats about it.
I think that, for many people, celebs become sort of extended members of their families or friends - they assume a knowledge of them based upon exposure to their work and appearances and gossip about them in the media. The extent to which one grieves is probably measured by how much interest you had in them, or if you identified with them, or if their work had some special meaning to your life.
I have felt a momentary sadness at hearing of the death of some celebrities, but in the main that is it. The only famous persons death that effected me to an greater degree was upon hearing of the death of John Smith, Labour leader, at only 55 years of age - I was genuinely saddened at hearing the news, shocked at the relatively young age at which he died, and also because I am an unrepentant leftie and he struck me as being a politician of principle.