You can get Grimm Chests from harvesting Grimm Trees or from level rewards in the Craven Crypt & Glacier Falls levels!!!
You can open Grimm Chests for rewards! Watch the 1st video below for more info!
Or you can merge them, when you merge 5 level 4 Grimm Chests of Suffering you will summon a Swamp Zomblin which you can destroy for a level 2 grave; Corwin’s Tomb. Watch the 2nd video below to learn more!