The Brickerton threads span over trillions of years and with only four major RPs it's not like we can cover every single moment of those years, is it?
That's where grey space comes in, imagine that each Brickerton thread is a tile. Now place the tiles together on the floor and then fill with grout. The grout is like grey space, never really noticed and often forgotten, but essentially what holds the entire thing together.
Another explanation is to imagine a timeline. Major RPs and explicitly dated events are points on the timeline, but what about the rest of the line with no points? That's grey space.
Grey space is usually only ever mentioned in conversation. Exceptions of this include various spin-offs and SCaDOS' time travelling adventures in Darkness, as they often lead to characters exploring grey space that was before pure speculation.