The group let the man leave, Grey was certain he didn't hear their conversations, so there was no point in killing him, and putting him under his control will only put him under more pressure, he didn't want that at the moment as there were still important people he needed to put under his control. At the moment, the person he needed the most under his control was the Third Prince, however, this has become difficult since the Second Prince has tasked him with the death of the Third Prince.
Not killing the Third Prince will make the Prince slightly cautious of him. However, that was his best bet if he wanted to put the Second Prince under his control. Without the Second Prince, it was practically impossible for him to get to the First Prince. Yes, he has placed the First Prince's trusted Necromancer under his control, but that was only half of the plan. The Second Prince is needed to complete it.