Yes, of course - when it's a grandchild, they don't live with you full time. It's easy to give a guest your full attention, but you don't expect to spend every minute that you're both home interacting with and entertaining and validating your DH, do you?
There is definitely a danger in setting yourself impossible targets. And it is very healthy for children to learn to play separately, too. I don't mean that you should force or push them if they are not ready, but it's good for both you and them to get some space and be able to entertain themselves.
DS was very like that at three. I found it difficult as well. He is less like it now but it's only really been the last six months or so that he's been happier to go off on his own. (So since he turned six). I think he is naturally very extrovert. I remember that I used to keep his most loved toys in his bedroom, so that the pull of those toys would encourage him to go up there and play alone sometimes. And I had to be really strict with laying out what I would and wouldn't do. If I said I'd play for a little bit and then expect him to carry on, it never worked. When I tried to leave he'd cry and strop and if I persuaded him it was fine, he'd then flop around and "try" to play but get immediately bored and come and follow me instead. So he ended up watching loads of TV. But if I was clearer, like I said "I'll help you build the track, but I don't want to play with it" then he'd be happier, knowing what to expect, and then he'd sometimes play a bit more. But he never really played with what I expected him to. I bought loads of Happyland but he mostly just lined up the cars on the road and then got bored. Challenging him to something, like doing a puzzle (he liked puzzles) helped. He didn't like drawing for ages.
By about 4.5 or 5ish, I could turn off the TV and say "No more TV, go and find something to do" and he'd whine and strop about it but then he'd eventually go and do something. But yes a lot of constant questions, commentary, he still does that, he doesn't stop talking!
Don't be afraid to say no to helping. Say yes when you feel up to it, because you're right, it is helpful. But it's also okay to say no sometimes. And it's really okay to expect them to entertain themselves, although a three year old usually needs setting up with something first.
You could start a thread asking people how long they spend actively interacting with their children and what age they are, it might be eye opening. I certainly find/found (much less these days) having one child draining, because when they are little if they want input they can only get it from you. Conversely more children are said to be easier in this respect, although I suppose it might continue being just as constant because one child would do it less but each child might add up to doing it the same amount! :)