There is no integration between the two per se but you can export the grid to Photoshop as a new layer and then use it as a 'tool' for helping you align everything while manipulating 3D objects.
You can export it like this:
- Create a new blank layer
- Open Vanishing Point
- Create all the grids (NB Go for blue grids)
- Click the drop down menu on the top left in Vanishing Point and choose 'Render grids to Photoshop'
- You should have a grid with transparency on your layer
- You can change the color of the grid if you just lock the transparency of a layer and fill it with a desired color.
Alternatively you can choose 'Return 3D layer to Photoshop' and you will get a white 3D model of the grid which you can then use in 3D like any other 3D object.
[Unfortunately, I don't know whether you can get a 3D model of a blue grid, but you can always change the faces of the new white model to appear like a grid.]