I have seen this working, but didn't understand why... thanks!
I'd probably indent the grep in that case, though, to make things clearer.
My own PowerShell scripts often take the form of
Get-Foo |
Where-Object { $_.blah } |
ForEach-Object { ... }
etc., especially with longer pipelines.
Something else I figured out recently is that if you put the pipe at the end of a line, you don't need a backslash: