I can't really comment on the relative merits of Grand Seiko versus Rolex since I've never really handled or owned a Rolex.
However, I do have 3 Grand Seikos (SBGW001, SBGE001, SBGR037) - and they are wonderful. Even the "concept" of 'Grand Seiko' interests me - it is possible to spend almost any amount you like on a Seiko watch. The finishing of the GSs I own are excellent. As you can see I have a manual, auto and SpringDrive: all perform very well, and the SpringDrive is a conversation starter which you wouldn't get (in the same way!) with a Rolex. Yes, a conversation would probably start wearing a Rolex but it probably wouldn't relate to the motion of the second hand 
I love wearing the GSs (yes, sometimes 2 at a time) - people are amazed that Seiko watches reach such high levels of craft - they never knew. So you can wear a watch that feels great, is wonderfully made, that completely puzzles other people. Great 