Github user BryanCutler commented on the issue:

    https://github.com/apache/spark/pull/17306
  
    Yeah, that's true in this case.  You could just build the grids separately 
and combine them like this
    
    ```scala
        val pipeline1_grid = new ParamGridBuilder()
          .baseOn(pipeline.stages -> pipeline1)
          .addGrid(hashingTF.numFeatures, Array(10, 100, 1000))
          .addGrid(lr.regParam, Array(0.1, 0.01))
          .build()
    
        val pipeline2_grid = new ParamGridBuilder()
          .baseOn(pipeline.stages -> pipeline2)
          .addGrid(hashingTF.numFeatures, Array(10, 100, 1000))
          .build()
    
        val paramGrid = pipeline1_grid ++ pipeline2_grid
    ```
    Maybe not all that intuitive though... 
    It might be worth it to add some smarts in the `ParamGridBuilder` or 
`CrossValidator` to prune the grid if there is a pipeline and params not used 
in any of the stages.


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