Grey had no idea Klaus had broken through to the Sovereign Plane. He was still focused on himself and concealing his breakthrough as much as possible. If the same phenomenon occurs, it might lead people to him, especially if he breaks through. He was afraid that compared to when he got to the Pseudo-sovereign stage, the phenomenon would be greater if he had actually gotten to the Sovereign Plane at the time.
Now, he wanted to conceal it, and so did his father. They both knew the danger that might come with Grey's breakthrough, especially in such a manner. The Gnomes wants him dead. If they find out that Grey not only has the ability to keep them at bay, but also get to the God Plane, they will do anything in their power to kill him.