Q - What are Catholic teachings on the Holy Grail?
A - Thanks for the question. There is no official Catholic teaching on the Holy Grail. First of all, the legends about it don't even agree as to what the Holy Grail is. Some say it is a chalice used at the Last Supper, while others say it is a ciboria. Still others say it is the platter that the paschal lamb was on when Jesus ate the passover meal with his apostles. Yet all of them agree it is supposed to be the vessel that held the blood of Christ.
Most of the legends have Joseph of Arimathea as the central character and many of the legends have him bringing the Holy Grail to England, others to Spain, and still others have it different locations with different people involved.
The Church has basically ignored the legend, which leads me to believe they are merely legends. While there is nothing preventing a Catholic from believing the legends are true, I don't see too much value in expending too much time or effort in looking deeply into the issue.
For more on this topic you can read the following:
**Catholic Encyclopedia entry on the Holy Grail
**The Quest for the Holy Grail