"What makes people think that Grob's Opening is so bad?"
++ It loses by force for white and it is the only move that loses by force for white.
Neither one of these statements is proven. Those AlphaZero papers are anecdotal evidence at best, not anything scientific.
To Ethan_Brollier (post #15):
It's completely possible to hold onto the pawn (with 2. e3). Developing the bishop instead of defending the pawn can be thought of as a sort of gambit, where Black's bishop is misplaced and can be kicked back later with pawn moves.
Ewww.
Ironically, for as many Grob fans there are out there, I haven't seen White's best option mentioned yet. It's still abysmal and also offers Black transposition to the slightly worse (but still winning) Fritz Grob Gambit lines, but White is doing better by the slimmest of margins.