Hi
You may do a GRN and Invoice verification on two seperate days. So there could be FX differences there. As per IAS 21, that is the correct approach. It may be different in the case of your country's accounting principle, but in most markets this is generally based on IAS 21. So what the system is trying to achieve is correct and you must book the FX Difference if there is a difference in Exchange rate between GRN & IR. Hope I am able to clarify the doubt.
Regarding the system transaction, you can also use F13E to clear GR/IR Accounts in a currency other than your local currency and in such a case system will automatically book the FX Difference. Let me know if you need any further clarification.
Thanks & Regards
Sanil Bhandari