PAVILION, SELSEY. "I LIVE IN GROSVENOR SQUARE,” a brilliant Associated British picture produced and directed by Herbert Wilcox and starring Anna Neagle, Rex Harrison, Dean Jagger and Robert Morley, comes to the Pavilion, Selsey, on Monday. “I LIVE IN GROSVENOR SQUARE" is a delightful, modern romance, bridging the Atlantic in its sentiments, and yet essentially British in its portrayals. Herbert Wilcox has produced yet another British picture that will be remembered by all who see it. Thursday brings Will Hay and Peter Croft in "THE GOOSE STEPS OUT".