Consider how a graceful permutation in $S_n$ looks. The difference $n-1$ can only be realized by $1,n$ (or its reflection). The difference $n-2$ is then realized either by $n-1,1,n$ or by $1,n,2$. In order to realize $n-3$, we need to extend this to either $2,n-1,1,n$ or $n-1,1,n,3$ or $1,n,2,n-1$ or $n-2,1,n,2$.
Consider now the difference sequence: it is either $n-3,n-2,n-1$ or $n-2,n-1,n-3$ or $n-1,n-2,n-3$ or $n-3,n-1,n-2$. The first and third options have double difference sequence $1,1$, so the corresponding permutation cannot be double graceful. The second and fourth option have $n-1$ next to $n-2$ and $n-3$, so for that permutation to be graceful, either $n-2=1$ or $n-3=1$, i.e. either $n=3$ or $n=4$. The case $n=4$ can be ruled out by brute force.