That's right, you can't transfer the points. grid.org points aren't lost. They are still there should you continue over there.

However, statistical services like http://stats.free-dc.org will list both sets of points in the same box --- as I have in my signature below. I had 211,888 at grid.org and over 900,000 points here. They also rank you within each project and fudge a factor for every project and make an overall rating among the individuals they are tracking....103 for me at the moment.

A further item. You have the further choice of the UD interface or the BOINC interface. If you are processing with BOINC, there will be a conversion to WCG points for any worldcommunitygrid.org workunits processed with BOINC. They won't be lost. Also join a team if you haven't. Points will also be matched for the team.