No, It wont matter if they have given different address. By the way they too have another building on Grosvenor Street which they use for Passport Services for Canadians and consular services as well so they may have used that one for now. However, after 16 December the address will be as follows:
Immigration and Medical division
Canadian High Commission
Canada House
5 Trafalgar Square
LONDON
SW1Y 5BJ
UK
Or unless they provide you with different address. Please please please always send on the address they have requested. In UK Canadian High commission have presence in several places so they may have different arrangements.
I see many applicants are requested to send their documents on 38 Grosvenor Street so you must send your documents there, in future if they provide you address of Trafalgar Square then send there.
Just today my documents were received on Macdonald House, 1 Grosvenor Square and i have always used this same address.
I have sent email regarding the addresses so i may receive their official message soon, i will share here anyway.