As you can see, the interactions between ODS and SAS/GRAPH are complicated in SAS 9.1. It's important to know that graphics generated with legacy GRSEGs are done in a completely different way than with the java/javaimg and activex/actximg devices. I prefer the latter when using an ODS document because the raw data for the graph is persisted. When you use GRSEGS, really all that gets persisted is a reference to the GRSEG, which has already been rendered based on the characteristics of the creation device, as Dan mentioned. It is fully cooked.
The java/activex (so-called "client") graphics get rendered when the document gets replayed based on the output destination styles in effect. They behave like tables always have behaved in ODS. You have control over the presentation characteristics of the graphics. Also, because the raw data is persisted, you can use the ODS OUTPUT destination to dump the data into a data set!
If you prefer GRSEGs, then they'll work for you. But they're less flexible. Also, you have to ensure that GRSEG catalogs persist at least as long as the document that references them. If that's an issue, I can show you how the ODS DOCUMENT destination helps you with it.
-- David Kelley, SAS