I like the 'greys being constructs' idea. I've theorized, going from the premise of replacing spiritual beings with space aliens in religious text, that the angels not having free will as humans are allowed, would mean that they've been either constructed or genetically engineered. This would hold with the idea that humans in order to enter into heaven, or join with our galactic brothers, must reach a level of enlightenment of their own free will without being tampered with. While the angels are not allowed this freedom and are consider more like tools.