I wouldn't trust that because most of the weight loss is going to be water that has vaporized.
The fat lost will collect as a liquid so the OP's idea of weighing that is an excellent one... although a lot of it will be stuck to the grill so ideally you'd want to weigh the grill slab (if detachable) before and after cooking and use the difference as the weight of the fat.
After all that however, I've read somewhere the that "fat reducing" aspect of the Foreman grills is pretty close to nil... like a couple %. Mainly it's just a convenient and quick-cooking device, not a fat reducing one. Although if you want to believe that it is vaporizing all the fat and give you a guilt-free way to gorge yourself on 80/20 ground beef, don't let me pooper the party. Um... yeah! Foreman grill removes all the fat, dude, hella healthy! Eat TWO burgers you'll lose weight TWICE as fast!