When does the bank need a certificate of compliance under Right to Financial Privacy Act?

Before releasing customer's financial records to federal government agency (unless there is an exception).
Usually Certificate comes as a part of subpoena or similar documents.

I don't recall seeing any certificate for a Grand Jury Subpoena. Where would I find it in the documents?

That would be one of the exceptions referenced. In a nutshell, the certificate assures that the government has provided notice to the customer and given them a chance to contest the demand for documentation. Grand juries, operating in secret, do not do those things.

Summary-all government agencies, including state courts, must have a certificate of compliance?

IRS is not subject to RFPA.

The Right to Financial Privacy Act only applies to the Federal government and it's agencies (except as John indicated, the IRS). It does not apply to State government or it's agencies. Any similar requirements pertaining to state governmental entities would be found in your state law.