I don't think it is necessary to explain their grayness. There are lots of gray animals here on Earth (elephants come immediately to mind). That does not mean there is no need for all this background information - I think developing a detailed back story is always a good idea. I just don't think anyone is really going to care why they are gray. These guys sound a lot like the typical UFO alien slight of body, big of head, four rather than five digits. That's fine, it's something your audience will have no trouble identifying with. What you do with them, i.e. the actual story line, is what will be the most important. And a strong back story can often help in developing a strong final story. Just my 2 cents. jon

 
~jon
My Blog - Mad Utopia Writing in a new era.