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So is there anything official about the Grays? Those buggy eyed gray aliens, the typical way we see aliens (signs, ancient aliens etc...)

Probably exterminated by the AdMech when they took over Mars.

in all liklyhood, like the uncountable numbers of Xenos that have probably been encountered by the Imperium during the expansion and crusades and all that stuff.

They were exterminated.

Every.
Single.
One.

There are like a billion different kinds of grey aliens in the various media and in the general pop culture as well.

Peaceful ones, abductive others, workers for other races. Branches that could give the single factions of the universe a good run for their money. Or even four dimensional beings who would probably smash against anything the WH40K setting throws at them.

Of course the ones out of Signs, for example, would have been probably mass raped by a single Space Marine.

The Fourth Dimensional ones were devoured by Daemons and Enslavers.

The highly-technological ones were exterminated by the Necrons.

The peaceful ones, the abductive ones and the ones that are workers for other races made the mistake of being noticed by the Imperium of Man and were exterminated.

The ones from Signs did not survive the summer monsoon season of Tempesta IV in M13 and died to a man... thing. A man-thing.

Much like the PDF they were killed to a man.

Who was burned for Heresy.