UPDATE 1-30-15: Just got word that the issue has been resolved on Sony’s side of things.
People have had problems downloading Grim Fandango on their PS4’s. It seems that people who preordered the game are caught in an endless loop of being shown that they have the game on the PSN store but then when prompted to play it are told to see the store page where they are told again they have it.
A quick fix until this is sorted out is to go to the web version of the Playstation Store and go to your download list, Grim Fandango will be on that list and all you need to do is select download to your PS4.
This will download the game to your console.