"I would be grateful if . . " is a (conditional) statement and does not require a question mark.
Your colleague seems to have got things muddled. If you'd have written, "Perhaps you might give this your attention?", the use of 'perhaps' implies a question and thus justifies the question mark.
Similarly, Frederick T. Wood's Current English Usage says that a question mark is used after constructions such as, "I wonder whether . . ", where the sentence has the force of a request. (Your colleague seems to be suggesting that "I would be grateful . . " carries similar weight as a request but I would dispute this).
Conversely, Longman's Guide to English Usage states that it's acceptable to omit the question mark at the end of a question used as a request. They give, "Would you please send me another ten copies so that I can give one to each member of my staff" as an example of a question/request which does not require a question mark (although it would still be acceptable to use one).
Chris