As to historical research, it is probably a lost cause unless it was a part of a larger event, like a pogrom. Those things were typically orchestrated by the Okhrana (tsarist security service) by spreading rumors of Jewish attacks on Christians, so killing of a Cossack would certainly be publicized in the local press. However, 1905 was a revolutionary period in Russian history, and there was a lot of violence at that time. A single incident might have been simply drowned by many other similar incidents.
It is also possible that the killing story was manufactured either by tsarist agents to stir up trouble, or by your Grandpa to get an asylum. I lived in an expat community for a while, and stories like that were told quite often, but for someone familiar with the regions they did not pass the smell test.
-- Wojtek
"An anarchist is a neoliberal without money."