Usually update-grub is called via hook, no manual execution needed. also it sounds a bit strange to install a specific headers package when you install the kernel via a meta package.
I installed the metapackage alone at first and I had a warning asking for isntall headers, then I removed it ,and did it this way and there was no warnings, the update-grup is done, twice, as you say, this way, but I do like to be sure all is ok, and i can read the output - and be sure all will be ok when i will reboot.
I have just discovered this method, after being happy with the Sabayon 1000 Hz kernel and looking an easy way of having it at ubuntu. I did not know this.
It seems that the poor performance in Ubuntu is caused by this bug: Poor performance on Intel® 965GM x86/MMX/SSE2? If anyone else is experiencing the same issue please go and vote for it as shown here: how to vote (you have to be logged in). Hopefully it will get fixed sooner.