Oh, yeah, actually I remember grub doing that on mine - it's because its config files live in /boot, and /boot can be either a directory or partition.
If it's a dir. on the / partition, then it'll be /boot/grub
If it's on its own partition, then it'll be just /grub on that partition.
So it creates a /boot/boot directory and links the files to /boot - that way, whatever happens, there's a /boot directory on the partition that contains its files.