It is not true in general that if S/I is Gorenstein, then S/in(I) is also Gorenstein. For example, consider $S = K[x,y,z]/(x^2,y^2,z^2,xy-xz,xz-yz)$. This is an Artinian Gorenstein ring and with respect to just about any monomial order, the initial ideal is $J = (x^2,y^2,z^2,xy,xz)$; however, $S/J$ is not Gorenstein. You can see this either by looking at the graded Betti numbers in Macaulay2; it looks something like this:
$\begin{matrix}
& 0 & 1 & 2 & 3\\
\text{total:}
& 1 & 5 & 6 & 2\\
0: & 1 & . & . & .\\
1: & . & 5 & 5 & 1\\
2: & . & . & 1 & 1
\end{matrix}$
The lack of symmetric means it is not Gorenstein.
Alternatively, you could note that the socle of $S/J$ is $[J:(x,y,z)]/J = (x,yz)/J$, which is not one-dimensional.
So the "squarefree initial ideal" hypothesis is doing a lot in the Conca-Varbaro paper, which is still quite a nice result. (Note that our initial ideal is not at all squarefree.)