you need to select the user grid for the grid settings to become active
A detailed explanation is found in the Tutorial: How to make a footprint in KiCad 5.1.x? - #2 by Rene_Poschl (section Adding the mounting pads using the user grid.)
This was the only way in version 4. Since version 5 there is a measurement tool available that gives easy to understand feedback. (left click to start, move mouse and see the tape measure, another leftclick to fix the endpoint till the next action is taken.)
Found in inspect → measure (version 5.1)
Might be that it shows up but you do not see it. check in the preferences -> preferences -> (pcb_new/footprint editor) -> display options if you have selected dot, small cross or lines and how the thickness is set.