Grima has just been arguing with Saruman about how strong Helm's Deep is and how it is virtually un-breachable. My interpretation is that he has always seen Helm's Deep as the ultimate in protection and power, and in this moment he is shown power that he's never known to be possible. He was unaware of the power of the black powder and he claims that there is no such army that can breach the walls only seconds later to be shown such an army in the Uruk Hai. He is overwhelmed by it all and sheds a tear at the "beauty" and "fear" of it all. He's shown the evidence of what he only seconds ago doubted was possible and this is his full "conversion" moment.
Below is the movie script taken from IMSDb.com and provides some of the insight and context I'm referring to.
Grima (V.O.): Helm’s Deep has one weakness. Its outer wall is solid rock but for a small culvert at its base which is little more than a drain.
[Camera turns to Gríma and Saruman at Orthanc. Saruman is pouring some dark dry substances into a vessel. Gríma is holding a lit candle in his hand.]
Grima: How? How can fire undo stone? What kind of device could bring down the wall?
[As he steps closer to the vessel, Saruman takes hold of Gríma’s hand and pushes the candle away from the vessel firmly.]
Saruman: If the wall is breached, Helm's Deep will fall.
[He walks away towards the balcony.]
Grima: [Following Saruman] Even if it is breached, it would take a number beyond reckoning, thousands to storm the keep.
Saruman: Tens of thousands.
Grima: But, my lord, there is no such force.
[Both of them came onto the balcony of the tower. Gríma suddenly sees and hears the enormous armies laid out below in neat rows and is astounded and awed. He continues to hold the extinguished candle aloft as he gapes at the vast army below. A horn is sounded, announcing the appearance of Saruman. A loud cheer is heard from the army. Saruman raises
Saruman: A new power is rising. Its victory is at hand!
[The army cheers and roars.]
Saruman: This night, the land will be stained with the blood of Rohan! March to Helms Deep! Leave none alive!
[The camera keeps zooming out from the balcony over the incredible size of Saruman’s army, past Uruk-hai, spears, and banners and yet more Uruk-hai. The camera focuses back on Saruman who then raises his hands in the air]
Saruman: To war!!
[The army cheers and roars even louder.]
Saruman: [Sneers] There will be no dawn for Men.
[A tear flows down Gríma’s cheek. The Uruk-hai army began their march to Helm’s Deep.]