I've never actually had an auction house send my cards in for grading, so I'm not familiar with the etiquette here.
As a general principle, until they're sold, they're yours. I do think that if you're going to demand to get them back, then you should be willing to pay for any costs of grading, handling, and postage, etc.
And there's always the possibility that this specific auction house might feel less inclined to make extraordinary concessions in the future when you want to consign items.
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Trying to wrap up my master mays set, with just a few left:
1968 American Oil left side
1971 Bazooka numbered complete panel
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