User blog comment:B214/Volume 17 spoilers./@comment-187.209.0.247-20140306224029/@comment-24468758-20140307064212

Actually she is the maid of Sirzechs and the Gremorys because she wants to as she can act more freely as a maid than as the wife of the maou Lucifer. Furthermore she likes working as a maid and is serious about this (she has even forbidden Milicas to call her mother while at work).

Regarding Euclid: up until the end of Vol.14 Grayfia thought he was dead, so there is no point in assuming she never really cared for him. Additionally she has yet to appear personally since after that incident with Euclid she was just mentioned and made no appearance. Moreover, she cares for Issei very much so she would never be angry at him for protecting the underworld and Rias and her peerage. In comparison is she most likely more shocked than anything that her brother is alive and works for Rizevim.