After escaping from Omnipotence City, Thor and his band would apparently visit the “Moon of Shame” to procure a robotic body for Korg and would encounter the Grandmaster, who also went there seeking cybernetic enhancements after being mutilated by Gorr, and they would hang out for a while before the heroes continue their journey to the Shadow Realm.
Christian Bale is confirmed to have filmed with Jeff Goldblum, so either we actually got to see Gorr mutilating Grandmaster early on the film, or Gorr would attack the Moon of Shame for whatever reason and they would interact there.
Either way, Taika Waititi said the scene was not good enough and that he has no intention to release it, or the scenes where Gorr kills Peter Dinklage’s Eitri and Valkyrie meets her former commander played by Lena Headey.