This comes up in discussions from time to time, but most info given is conjecture or anecdotal.
From what I have actually read, and observed, the grain ( not really the right term) is totally erased as far as bladesmiths are concerned in HT. If you forge, I doubt a metallurgist could tell which way the sheet was oriented. As Nathan pointed out, the artifacts such as slag inclusions, and some hard to deal with carbide structures may remain to some degree, but this should not affect the blades performance in any way measurable. All this is ,of course, based on a full and complete HT, allowing enough time for all things to go into solution.
Since most blades are made from bar stock, the question of orientation is of no concern.
If a large sheet is used, it is the normal procedure to cut with the direction of the rollers, but it won't hurt if it is cut the other way either. If laser or water jet cutting, avoiding material waste is a far greater concern.