Create /etc/udev/rules.d/99-local-grub.rules with this content:
# Create by-id links in /dev as well for zfs vdev. Needed by grub
# Add links for zfs_member only
KERNEL=="sd*[0-9]", IMPORT{parent}=="ID_*", ENV{ID_FS_TYPE}=="zfs_member", SYMLINK+="$env{ID_BUS}-$env{ID_SERIAL}-part%n"