One of the routine tasks the grey would carry out for the Anu, was to screen the offspring born to humans all over the world, looking for infants with traces of the Anu bloodlines and those with special abilities.
Since the creation of the human race and especially since the later manipulations to shorten their lifespan, the Anu kept an eye on their breeding programs. They did not want unexpected developments. Those with more of Anu genes were occasionally singled out and prepared for service of the Gods. They might see holographic images of the God or Goddess from childhood, teaching them.
Even after the Anu disappeared, the grey continued running the screening programs.