Yes, this issue exists, but probably it's a Radeon story. I have exactly the same picture when I pass between the full-screen and the screen with menus on my main monitoring PC which is i5/4Gb/Radeon 5850/Win XP Pro 32-bit.
I have tried to replicate this issue on my other PC - i3(integrated graphics)/4Gb/W7 Ultimate 32-bit but still no signs of "grey screen story".
Regards,
Nick