Like Enkidoh, I watched the video and then investigated further. Like him I came to the conclusion that it seems the area was a supply area for the original power station and was later used as a discreet VIP arrival area, although the evidence is very thin on the ground and unsubstantiated. Having watched both the link from Euphod and a link to a BBC account of a visit by one of their reporters with the same guide, I agree with him that the Roosevelt story may be an urban myth or even, dare I suggest, a publicity stunt.
Incidentally I pursued the links because I really wanted to find pictures of the train halls as I have book from my childhood (The Worlds Railways and how they work - Odhams Press 1947) which has a cutaway illustration of Grand Central Terminal and it gives the impression that the lower suburban hall has a much heigher ceiling than the mainline hall. Does anybody have any links to pictures of the train halls as so far I have drawn a blank?