I don't know why it took me so long to figure this out.
Add a little teaspoon of your favorite unsweetened gelatin-based pudding dessert powder mix to your protein shake. I put in vanilla or cheesecake or chocolate flavor but whatever you like and then I give it a good blend with a blender or milk frother. It doesn't really change the flavor much at all, adds less than 5 calories, gives you collagen which is good for joints, and makes a GIGANTIC difference on the texture of the shake. No graininess. Just a silky smooth drink even if you are just using powder, water, and a small bit of gelatin. Night and day.
EDIT: One caveat for our vegan/vegetarian comrades - research this. Some flavors of pudding are vegan/vegetarian friendly and some aren't. It even varies within the same brand apparently. I'm not vegan but I don't want to advise you folks to violate your dietary needs. Be well.
Of note, the difference between gelatin and vegetarian/vegan "gelatin" is that the latter is not gelatin at all, but instead one or more plant or bacterial starches like carageenan, agar, pectin, locust bean gum, gum acacia, guar gum, xanthan gum, etc.