I think vignette and film grain can both look great in small doses and in the right situations, but they have to be really subtle. If you can actively see them, it's already far too much. Unfortunately, most games go wayyyy overboard with them.

Film grain has a few psychological effects:

it can evoke a sense of nostalgia, as if you're watching old footage
it can add texture, which can stop players from perceiving flat textures as being as, well, flat, stop jagged edges from standing out as much, and adding a sense of depth
it can make something feel more "genuine" - rather than being clean, edited, almost clinical feeling, film grain can make things feel a little more raw and believable
it can add a "documentary feel", especially combined with camera shake (another thing a lot of games are far too liberal with, but that can be great in the right moment/dosage) which can make the player/viewer feel more like they're in the action themselves
a lot of cinematic masterpieces were filmed on analogue film. Film grain is something people subconsciously associate with something being cinematic, to the point where a lot of modern film/TV that's shot on digital cameras (and therefore doesn't have film grain) will have digital noise added to emulate the effect. Games do it for the same reason.

As for vignette, I think this is far more niche and definitely something that isn't used well in a lot of games. The biggest reasons to use it are:

to draw the player/viewer's eye to the centre of the screen/frame
to reduce the player's peripheral vision - this can be good for horror games to add a feeling of claustrophobia, or in any genre when the player is wounded (although many games will add fairly distinctive bloody overlays rather than a simple vignette)
during low-light situations - like above, but it can really sell the darkness a lot more (on top of actual low-lighting effects) if there's a well-done vignette.

The thing is, both things need to be used in tasteful quantities, and ideally done dynamically. Just plastering them over the entire screen all the time looks terrible, whereas using them in specific situations and being more selective with how they're applied - like in low-light situations, certain environments, or specific story moments - can work really well. And most developers simply don't do that.