Is Luxemburg the only sovereign Grand dukedom left in the world?
Yes
In Europe; Liechtenstein, Monaco and Andorra are principalities; I'm not sure what exactly the Vatican is but it's an elective clerical monarchy (those used to be common in the Holy Roman Empire, they were called Prince-Bishoprics, but I'm not sure what the Vatican in particular would be called); Luxembourg is a Grand DUCHY (not dukedom), but other than that all the other surviving monarchies in Europe are Kingdoms (those would be the UK, Spain, Belgium, the Netherlands, Denmark, Norway and Sweden).