It's about 1 1/2 ago I looked at MMS/IMS integration. But I'm sure that the provider will want all the old devices out their to still work - and their definitely do not SIP. So if we assume that legacy device support will continue for 5-10 years we should not care about SIP now.
MMS for the device is TCP/IP for retrieval and PUSH (IP, SMS but possibly also SIP in future) for sending.
GRX is something that is not relevant for the device. GRX is used (as above mentioned) for inter-operator communication between providers, in the MMSC case communication between MMSC.
From the view of the device it does use SMS and IP roaming. AFAIK there is no device lock-out. Every device that can handle the procotol should be able to do MMS.