Some report that it makes folding, or curving/molding difficult if done across the grain. Personally, I've done it with, and across the grain many times, with no problems.
I've not heard of a grain referred to that goes in a certain direction, like wood. But I have found that foam is happier to bend one way than the other. Easy for me to find as my foam is paperless and there's a slight difference in the texture that helps me identify which side of foam to bend towards. I take an off cut of foam, bend it in both directions and see which one snaps first, then hold it up to my main piece to which way around it is.
If you don't want to strip paper from your foam, though (seeing as I coat the outside of my pieces with tape to prevent snapping, I think the paper might be helpful for it), I would recommend cutting your pieces-to-bend with extra tabs coming off them. Strip the paper from that tab or just go ahead and see which way it bends. Once you have the bend direction established, cut the tab off.