You can say it like that if you have whatever grocery store you want to go to stored in your contacts. Since most people don't want to have unneccesary entries in their contacts list, it's easier to say "remind me to () when I leave".
Just did a little test to see how Siri would respond with "Remind me to pick up milk when I get to Giant Eagle". Siri's reply is "I don't understand...." "I can remind you when you leave, when you arrive at a place, or at a certain time" Me: "remind me when I arrive at Giant Eagle". Siri still didn't understand.
I don't know why Siri can only access your contacts and not, say, do a google search for giant eagle and find some in the area and allow the user to select which one they want. I mean, you can say, "is there a giant eagle near me?" and Siri can find that.
Mr. Batting1000, is this something that Siri is capable of in 6.0?