It seems that on redhat systems, only the template for grants.sql requires the existence of /etc/mysql.
I've updated the mysql::server recipe to create the/etc/mysql directory if it doesn't exist. See this commit <http://github.com/apsoto/cookbooks/commit/1f6ac3dae8b666ba250f055305dae9a0973442b1
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However, it's possible there is a more appropriate location for grants.sql on redhat systems.
Another idea might be to put my.cnf in /etc/mysql and symlink /etc/my.cnf to /etc/mysql/my.cnf so files are grouped together.
Setting to /etc/mysql_grants.sql.
Pushed to opscode/master.