My old setup was Ultegra mechanical, 50x34 & 11-40 using an XT MTB rear derailleur with a Wolftooth Tanpan leverage adjuster. Worked a treat and had full range with the long derailleur.
So, same gearing but the rear derailleur sticking with the GRX Di2 will potentially limit the max cross I would guess. I don’t do it, but the big x big combo “works” and won’t rip off my derailleur. I’d be careful with the GRX 2x rear as I don’t think it matches the takeup of the XT I use.