if you created the vignette with a mask, then it's simply adding the grain effect to the adjustment and refining it.
if you created the vignette using the CC Vignette effect then:
1. create another adjustment layer
2. apply an oval mask to the adjustment
3. subtract/invert the mask
4. apply the add grain effect
5. adjust the mask to be precisly on the feather add some feather to the mask
other then steps 1-5, you could tackle this in another way.
duplicate the CC Vignette layer, set off the adjustment switch. now you have a black vignette on a white solid - this will be your luma matte. add another adjustment layer for the grain effect and set it below the new matte. set the grain adjustment to use luma inverted matte of the layer above it.
Thanks so much Roei. This worked perfectly. You are on another level.