thanks a lot.
I have put some water that went through the iron filter into a white bucket to check your theory as you suggested.
Also, an update: I ran water through the iron filter, then put it through my Brita pitcher (which is not exactly the same thing as my carbon filter, but it was my only choice). It's a little less gray after going through the Brita, but definitely still gray. Tasted it. Could be imagination, but it may be a little gritty. That sounds consistent with your theory, as well.
Finally, some more info it occurred to me to point out: When the water first starts to flow through the iron filter, the water coming out is almost black, then quickly lightens to the gray I've been describing.