Grey did what Jim had him do. No more and no less. I suppose it is supposed to show something about Grey versus Marcone. The problem being that we don't know enough about Grey to know how he is motivated. We know what drives Marcone because he has a major backstory.
The question about Grey that the short story doesn't answer is what would have gone down if Nicodemus had got to Grey first? Nicodemus knew enough about Grey, at least by inference, to believe that he could hire him to do the job he wanted done.
This is the problem with the story. Grey has a no backstory, other than Skin Game. Jim introduces a new character in addition which IMO makes matters worse. And where does this fit in the timeline? The one glimmer of hope the story gives me is that if he is based in Chicago than he might be in Peace Talks.