The Grey output is for headphones - it's the standard colour for headphones.
I have 5.1 in green/orange/black, mic in pink, and headphones in grey - all works wonderfully, no need to swap out jacks for 'phones/speakers.
Of course, if you have shoddy drivers it might not work as well, but works fine on my onboard realtek
Interesting, I'm assuming this is a new feature as I'm sure the Soundblaster Audigy card I had when I bought the headset didn't have a dedicated headphone output socket.