my experience on E34's and E36's is that the grounds are bundled to a number of central tie points throughout the car. for instance on my E34 the was a well populated gound point under the back seat. I believe this is done because there are so many panels etc. that are isolated from the ground of the car due to rubber isolation pads between body parts and accessories.
So there are in fact ground reference wires at the headlight and marker lights harness wire sets but instaed of directly connecting to a nearby metal surface (as other manufacturers do) the are carried by the harness back to central points and grounded at one of the central grounding locations.
As for the gray wire from the Depo harness set, yes that is for a 12v (not ground) connection to the city lights socket that is located in the high beam at the bottom of the reflector. So no harm is done by grounding it(the extra gray wire) except if you want to use the citylight bulb socket which would then have ground on both bulb contacts
just my 2 cents