"Grand Slam" means: winning in each of the three UEFA cups - UEFA Champions League, UEFA Europa League and ''Cup Winners' Cup'' (defunct).. This is a fairly neutral word with no inherent risk attached. There is no real cause for parental concern; it is descriptive vocabulary rather than something dangerous. If your child uses it, context will usually make the meaning clear. A brief, curious question about where they heard it is generally enough to know whether to follow up.