I know about the change in July that says a GFCI must deny power if miswired and either indicate or deny power if it is broke but I am also hearing some people say they also require a grounding conductor. It sure sounds like that is wrong to me. Anyone else heard that?

No, haven't heard that. In the 2005 they can still be installed without a grounding conductor if after the installation it is so indicated.

One important thing to understand about the new UL 943 "End of Life" provision is that the device need only indicate when it is no longer functioning and not necessarily deny power to the unit.

It appears several manufacturers’ will indeed produce devices that will not operate if mis-wired or upon loss of ground fault sensing function, but not all will. The new provision only requires and audible or visual indicator to activate upon loss of the gfci function OR the unit must disable itself from supplying power.