Yeah, I'd be somewhat surprised if he wasn't just acting for the purpose of doing undercover research. In the end the best way of finding information about evil is to associate with evil. Gray has become quite strong already as it is, so there's little reason for him to fall under the influence of any external power against his will. Such things would be for weaklings.

Juvia doesn't seem of much use right now, but are they just going to leave her sick and alone in the abandoned village?