This is an interesting one! I've installed a couple other manufacturers systems and not seen any hookups like this before. This is the Master Dimmer This is the Remote
Tech support at Genlyte says that the gray wire is only for the LED in the remote control. The LED is on only when the luminaire is off. Tech support says that the gray can be connected to either the EGC or the neutral
Note an alternate wiring method that caps off the gray
is shown only on the bottom of the second page of the installation sheet for the Remote.
Apparently, UL has approved the use of the EGC for the return current off an LED nite lite (if the installer wants to hook it up that way).