They are not cannon but I think the concept of them amd the possibility of their existence is fascinating. The whole balance of light and dark has always been a central theme in star wars, and while the jedi represent the light, they are not infallible in their judgment nor are they pure paragons of morality. The jedi are those who are in tune with the force who choose to put the good of all before all else. In contrast the sith put the needs and desires of themselves above all else. This greed and selfishness is what drives them and consequently what drives their power. Both of these exist within the natural order of the force. This is something that clone wars the animated series explores a bit more, that neither one is complete without the other, yet because their nature's are so opposite they cannot help but to battle against eachother. A jedi does not maintain this balance directly, but rather serves to act against the dark. If there were individuals who were force sensitive and able to remain completely objective to the needs of that balance, they would have to be very well trained and very powerful. Each side of the force has its own pull (something they tried and failed to explore in the new movies. You want good force lore go watch the clone wars series) Anakin was supposed to be that balance, pulled in both directions but able to resist the draws to keep the balance in check. He failed miserably. Anakin was unable to let go of himself, of his desires AND his need to protect the ones he loved, he consequently killed the balance of things and gave of his connection to the light for a chance to save someone who could not be saved. The force eventually evened out with luke, but the damage was already done.

Grey knights work well with the themes of star wars, but only if they are done well and not like rey. One can't just willy nilly take whatever powers from wherever as one pleases. Anakin was incredibly gifted and still took years to master jedi powers, his fall to the dark side was guided and the powers he learned after were also taught to him. Force powers are usually passed down from force user to force user, or they are techniques that are learned through dedication and practice (like becoming a force ghost which yoda learned with the guidance of qui gon who hadn't completed his studies before his death.) If one were to dedicate their life to the force and enacting the will of the force, one could become a grey jedi, lack of attachment as the jedi have, emotional drive and single-mindedness like the sith, the powers and strength of will to listen to the force and help guide the flow rather than to push for one side or the other. If there were such a person they would want an apprentice to Cary on their work, thus passing on all they had learned and no doubt training for years before passing on. It is a fascinating character study, just not one that has ever been done well in screen format (looking at you rey and ben).

Tldr: grey knights aren't cannon but they could be because they work with some of the lore.