Having same problem. Seems that proxy scripts, something new in natty release
that might have caused it.
Here's entries in my /etc/grub.d
00_header
05_debian_theme
05_debian_theme.dpkg-old
10_linux
10_linux_proxy
20_linux_xen
20_memtest86+
30_os-prober
30_os-prober_proxy
40_custom
41_custom
bin
Correction for my previous post,
Based on https://answers.launchpad.net/grub-customizer/+faq/1355
The *proxy* scripts were related with grub-customizer, I installed grub-
customizer before upgrading to natty, and seems the customizer didn't
cope well with release upgrade :D
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