I have noticed that while creating the graticule or measured grid you can define the Halo effect for the labels, but they don't show. When entering the properties of the grid you can no longer specify a Halo effect of the labels.
I don't think you are going to like this, but... if you extent is static, you could convert it to graphics, ungroup the labels and apply the Halo effect to them (see example to the left).