I don't think that's what the error's saying. If you tried to create a foreign key constraint that already existed (their names have to be unique, you can have multiple on the same table and column), you'd get:

Msg 2714, Level 16, State 5, Line 1

There is already an object named 'Grievance-Grv_Step' in the database.

Check the tables and see whether there's data in the tables that would violate the constraint you're trying to create.