this probably isnt very helpful for your situation specifically, but ive used light grey snazaroo and set it with baby powder for years and ive never had any problems. its a water based face paint as opposed to a cream based one like mehron, and it dries pretty quickly and nicely in my opinion and i can usually last a long time before i need a touchup with it. while ive never used grey mehron specifically, i use white mehron paint for a few of my non homestuck cosplays and ive honestly never had much luck with getting it to dry/set properly even after using a metric fuck ton of powder. not totally sure what the secret is to getting mehron to set nicely either honestly which is why i typically just stick to snazaroo/water based paints in general when it comes to cosplaying.

again sorry thats probably not very helpful ;_;