It's fantastic that she finds these things interesting. Please encourage it with age-appropriate history books and historical fiction! There are tons of books -- please see your library's children's librarian. The librarian would love to have someone ask about historical fiction! There are great series of fictionalized "diaries" of historical wome like Cleopatra, Elizabeth I, and many other queens and rulers; there are series of books about girls and boys in Colonial times; do seek out more books!
Your daughter sounds very intelligent. Many kids J. don't have the ability to think about and get interested in things outside their own little worlds, which is fine,, but when a kid actually enjoys and understands the idea of history, that indicates she's darned smart.
Of course you're right to be concerned about content at her age. I've had the same issue with my daughter and history or science documentaries (she's 12 now but I still am a bit careful). Even the great "The Civil War" documentary by Ken Burns shows period photos of dead soldiers, and it's not always something you want a kid to see, though the rest may be fine. I know you can't control what's on granddad's TV, but at home, you can preview things if possible; or only let her watch documentaries on DVD that you've rented and previewed first. Yeah, it takes time to preview things but with a smart kid it IS worthwhile; you don't have to sit down and see every second but you can play the DVD while you're doing housework etc. I do this for other TV shows my child wants to watch that can contain some violence (she loves a British Robin Hood series but on rare occasions the violence is too much so I put on episodes while I'm doing dishes, to check them).
At granddad's, I'd encourage him strongly to read to and with her instead of watching TV! Send him a bunch of history kids' books and historical fiction to keep J. at his house -- special granddad books. Tell him she loves history and you want to encourage reading and she would LOVE to do this with him.
Of course he'll still want to watch TV, so I would talk to him (without her around) about your concern that she not see whatever worries you -- dead bodies, references to sex, whatever concerns you most. If you are worried J. about her knowing that things like the Titanic sinking, or 9/11, or wars happen -- she maybe can handle that better than you realize. Yes, kids do know about the "sad but true parts" as you put it; sad but true is part of life. Kids are pretty good at comprehending that Bad Things Happen on a large scale; what you want to avoid is specific images that you feel will disturb her at this age. But don't shy away from the subjects entirely. It sounds like grandpa means well but doesn't necessarily discriminate about topics for documentaries; I'd sit down with him (or have your husband do it if it's his dad) and with the TV guide and pick out specific shows rather than letting the TV J. be on when your child is there.
One last note -- sometimes "history" documentaries, especially on cable TV and not PBS, actually turn out to be about things like "the history of serial killers" or "the history of the sexual revolution" and so on. Fine, but not for a young kid, so you and grandpa do need to be aware of those kinds of shows.