SELECT formatted.grade, LEFT(formatted.grade_id_list, LEN(formatted.grade_id_list) - 1) 
  FROM (SELECT DISTINCT parent.grade, (SELECT CONVERT (Varchar, child.id_grade) + ',' 
                                         FROM #test child
                                         WHERE child.grade = parent.grade
                                         ORDER BY child.grade
                                         FOR XML PATH ('')) grade_id_list
          FROM #test parent) formatted
  ORDER BY formatted.grade;