Go for Shimano double (R8000 46-36 chainset is mega). 1x requires a chainguard for when it gets muddy and even then it isn't great for chain retention when racing. GRX is designed for gravel, not CX.
Anecdata: GRX (810) has been noticeably poor at keeping the chain on the ring on a 1x setup (benchmark was SRAM Force 1 on previous bike).
Strange, I've never had any issues with the ultegra or the RX derailleurs on 1x
How short have you set the chain, I've found that's pretty important to chain retention?
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Go for Shimano double (R8000 46-36 chainset is mega). 1x requires a chainguard for when it gets muddy and even then it isn't great for chain retention when racing. GRX is designed for gravel, not CX.