User blog comment:The Bespectacled Guy/MCM London ComicCon 2014/@comment-11188061-20141026045911/@comment-9464517-20141026081557

I'm not there anymore so I can't ask Miles and Kerry (sorry), but what I will say is that in the World of Remnant video, we see the Grimm's entire body, including the skull, evaporate at 2:23, and the fact that those who hunt Grimm for sport have to create replicas of the skull suggests that there really would be nothing left after a Grimm evaporates.

As for masks worn by the White Fang and Yang's mo - I MEAN the mysterious swordsman, well, I see no reason why they couldn't just be copying existing Grimm designs.