Good Morning Jan,
Click on the $I button and let me know what is displayed in the message box.
You should also see the grbl version when PicSender connects.
You can also view the version with the "$I" button.
I will load the same grbl version you have on my test machine for testing same as you.
Back to your original question, for engraving vectors you can use VCarve with the "Grbl" post processor and using a "Laser" tool bit setup. VCarve will not do images such as jpg and bmp files, but you could use PicLaser or PicEngrave Pro for those files. Your gcode will have "S" commands instead of"Z" commands for controlling the laser power.
After I see what grbl version you have, I will also be able to tell you what command to manually input to set the laser power. It will look like "M03 Sx" (where x is a value between 0 and 255).