It's admirable that your grandson did not hit the other child; as you can see, it's important that children who play and converse in sensitive ways know how to respond when others tease them. Help your grandson come up with appropriate responses to use when those things happen, such as, "Yes, I am a boy and boys can play with dollhouses, too." It's not fair to raise a child to be sensitive and not prepare him or her to deal with others who may be mean to him.
Encourage your daughter to find ways to allow your grandson to participate in activities with other children his age. Joining a soccer team, a church group, or a Cub Scout pack will enable your grandson to develop the social skills he will need in dealing with the rest of society.