That depends on whether or not you are using leveling nuts. If you are, you can tighten the nuts as you go, as soon as the structure is plumbed. If not, then you need the grout to tighten against.
If you tighten before grouting, in theory you could over tighten the anchor rods and deform the base plate. If the base plate is grouted this cannot happen as the grout provides a full bearing surface for the base plate.