I'm going to guess that you are sometimes using datasheet view, other times not. Gridlines are associated with datasheet view. You CAN make your own gridlines in report view or print preview but it is tedious to do it manually, and if there is a "can grow" or "can shrink" option set to YES in any section, then it gets even more complicated to "roll your own" gridlines.
Look at the reports where you CAN see gridlines to check for use of datasheet view in the properties of that section.