They add grains to create a balanced diet of carbohydrates and protein, not as an unnecessary filler. Grain free foods have things like potato to do a similar job. In the wild, wolves are omnivores, they will eat stomach content of their prey which includes things like grains too.
High protein food or low quality such as bakers is more likely to be laid down as fat. Any food in excess will cause weight gain, so I would recommend starting at the recommendation on the packet for amount, and adjust based on body condition, increasing or decreasing amount as required.