Because she lied about being a PGO, which means she specifically did not want to draw attraction from a visit. She probs thought she could fake claim and get away.
I can't see Grey being scum in this situation unless he directly worked with Danielle. I think your reading too much into the conversation. GreyParrot said Danielle has some explaining to do, which doesn't mean anything. While I take some suspicion into him saying, explain the paranoia mechanic, from GP's behavior, he's a careless player in what he says. I know this differentiates from what you saw in live mafia in general, but from my games with him, he claims first and says things that come off weird without any hesitation of thought. Behaviorally, I think GP is the type of person to go and target Danielle and I am going to stand by that statement.
Danielle is a PGO, but there should be no reason for her to claim PGO unless she wanted to draw away herself being NK'd because of her role, but I am a cop, so that wouldn't make sense for her unless she is a tracking role. There's no real reason for her to claim this role at the moment unless she's some big power role.