It's not that big a deal.
My gran had 8 grandchildren.
Ann was far and away her favourite. They just adored each other.
Then my 3 older brothers who she felt sorry for because they were from my father's 1st marriage (a "broken home") 
Then the rest of the boys.
Then me. She really didn't like me. She wasn't really a bad person, she just saw my mother as the reason my dad's 1st marriage didn't last (not true, mum met dad long after his wife left him) and I was too much like my mother for her to like me. She was big on traditions, buying specific things for each grandchild as they turned 18, 21, got married, had babies etc, but weirdly these traditions all petered out before they got to me.
Point being: I am not particularly scarred by it. As a child you just accept your family as it is presented to you. In my family, gran had a special thing for my big brothers. Children like some people more than others, so can easily understand when grown-ups do too. There is a risk of projecting adult perceptions of a situation onto a child, and that does the child no favours. You are not going to make the daft old woman treat her grandchildren equally, so why point it out to the child?