That still doesnt make Gaius grey! Just because he does harm for fun and not cruelty does not mean he is grey. You have to look at the actions as well. As you mentioned before, there has to be moral ambiguity for you to consider them grey. But Gaius's actions dont have that. Sure he is not cruel, but neither is he doing things for a good cause. He is missing the moral delimma party. Now, I'm not saying he is evil, cause as you mention he doesnt do it for cruelty, just that he doesn't 'fit' into the grey character mold.

Now I've already mentioned Fordola could fit as a grey character. But, if you say Yotsuyu is not grey, how can you say Fordola is? Their stories are similar, both grew up being treated badly by their people, both grew up to oppress/torture their people. The only difference is Fordola's redemption. If Yotsuyu had redeemed herself at the end, would that then maker her a grey character? That would just make her a redeemed villain. You have too look at their actions while they were the 'bad' guy. Did their actions have moral ambiguity? Not really, they oppressed their people as revenge/payback.