Ultra-high spectral resolution in the EUV and soft x-ray energy ranges requires the use of very high line density gratings with optimal design resulting in use of a Blazed Multilayer Grating (BMG) structure. Here we demonstrate the production of near-atomically perfect Si blazed substrates with an ultra-high groove density (10,000 l/mm) together with the measured and theoretical performance of an Al/Zr multilayer coating on the grating. A 1st order absolute efficiency of 13% and 24.6% was achieved at incidence angles of 11° and 36° respectively. Cross-sectional TEM shows the effect of smoothing caused by the surface mobility of deposited atoms and we correlate this effect with a reduction in peak diffraction efficiency. This work shows the high performance that can be achieved with BMGs based on small-period anisotropic etched Si substrates, but also the constraints imposed by the surface mobility of deposited species.