Are Capital Ships always grade A, and is there a grade S
From experience, I obtained my capital ship the same way, and it was an S class.
The wiki page also mentions that they can be an S class:
As of Atlas Rises, Freighters also receive an A/B/C/S class designation
So yes, you can obtain an S class freighter via saving it like you and I did, and yes S class freighters exist, as well as A, B, and C classes.