Regarding that story, there's an interesting bit in "Wisden on Grace", from Lord Harris's comments in Grace's obituary:
"He [WG] was... just as reluctant to leave the wicket whatever his score was as was Harry Jupp, but more observant of the rules, practice and etiquette of the game than that stolid player, of whom a story was told that playing in a country match he was bowled first ball. Jupp turned round, replaced the bails and took guard again. 'Ain't you going out, Juppy?" said one of the field. 'No,' said Jupp, and he didn't."
If "Grace replacing the bails and batting on" was a well-known story back in 1916, it would seem odd for Harris to have written that.