The Grey Zone applies to characters or factions that even though either being written as a protagonist or a villain, are more appropriate of a in-between categorization. This applies to characters that were written as a villain or a protagonist but have a great amount of characteristics from the other, were manipulated or brainwashed, are villains by circumstance or proxy or are just plainly human, making them too complex for a complete categorization.
By definition a page in the grey zone category should not be added to either of the two previous categories except for few examples were said character has proven themselves more of a hero or antagonist in their respective story but in conclusion still are too complex to be truly part of said category to which they apply. Ex. Vincent A. Benedict, whom even though being a traitor his actions can be justified due to his infamous reasoning of war being just a "murderer's competition".
For a more in-depth description of the grey zone of morality plese refer to the following villain's wiki page which describes the very definiton of grey morality.