Not all gas fireplaces develop a greyish haze on the glass window and sometimes a bit all over the inside of gas fireplaces, but many do. Most manufacturers that we contacted didn't know what the haze was but they assumed it had to do with breaking in the heated parts of the fireplace, and generally went away after the first cleaning. However in some cases, not related to brand or manufacturer, the haze would always come back.
One manufacturer, Wolf Steel, actually had the haze chemically analysed. Although there were many chemicals involved, there were three primary ingredients to the haze: Sulphur 67%, Calcium 16% and Sodium about 4%. Sulphur is a natural by-product of burning both natural gas and propane. Calcium and Sodium are naturally found in humid air.
It turns out that the grey haze is more common in fireplaces with pilot lights where the stove is installed in either a humid room, like a basement, or in a humid neighbourhood like near a lake or the sea. When the fireplace is cold but the pilot light is running, you have ideal conditions for the formation of condensation. The condensation traps these prevalent chemicals on the inner surfaces of the fireplace. When the fire comes on, most of this accumulation burns off. But if the fireplace is off for long periods of time with just the pilot light, and perhaps a bit of cold downdrafting from the chimney, this stuff builds up enough that rather than burning off it forms that haze. So if you are not going to use the fireplace for the next few days, turn off the pilot light -- or get an electronic ignition. That should cut down on the haze, although in humid regions, you may never eliminate it.