Melanie: I can imagine Elliot (Melanie's father) pushing for his family's tradition of a name starting with El. I can imagine Innocence both thinking the names he suggests are kind of dumb, and thinking a little more irrationally that if she's named for his family, she becomes more his than she is hers. So I think of Melanie as their compromise - it contains 'el' but doesn't start with it.
Grace: In book 5 of the first series, Clay Collins says to Innocence that (to him) there's no truer measure of a person than grace in victory. Innocence counters with, "This friendship is our victory," implying she didn't actually defeat him. Some spoilers ahead... I imagine Clay, who was born a witch hunter but reformed to being on the side of witches, changed his mind at some point. I think he snapped when his father died, and he took it upon himself to take out Innocence - the leader of the witches. Innocence, of course, took him down shortly before Grace was born, and she named her after Clay's comment, both to remind herself that there was good in him, and to remind herself to be graceful in that victory, to not turn bitter against the other reformed witch hunters within her ranks.
Bloodlines, the third book in The Witch's Heir series is coming this year. I know this one has been a while coming, but it is still coming.
Also this year will be a new trilogy - Demon's Don't Love.