So, after more research this is not a database blocking issue. The actual data sources are getting called at different times. I have some logging code that logs the method calls to papertrail.com.
Looking at the attached log Sales_GetSalesTotalsData is called 2016-02-26 08:54:57.4746
it then returns at 2016-02-26 08:54:57.5016
Only once it returns does the second grids call happen (Sales_GetSalesData) at 2016-02-26 08:54:57.9870 and returns at 2016-02-26 08:54:57.9960.
Now the total time from first gird call to return of second grid all is only around half a second, but it is enough to show the ajax spinners on the second grid, which makes the page look slower than it should be.