I am having the same problem! GRUB seems to be detecting everything for me as well but when I check "/boot/grub/grub.cfg", it does not seem to have created an entry for my custom kernel!
Not sure how you build your custom kernel (edit - most likely following the guide you link above ;D ), but whenever I have done so I started with the PKGBUILD and related files for either the system kernel from the repos or some version from the AUR, and built a modified kernel like that, altering the source / config / PKGBUILD as required then building it with makepkg. This creates a kernel package that can be installed as usual, and mkinitcpio and Grub have worked as expected. Probably if you are building a kernel in another manner, looking at some similar PKGBUILD's could help identify what steps need to be taken.