User blog comment:B214/Volume 17 spoilers./@comment-24552694-20140314161445/@comment-1359322-20140314193810

We don't know for sure the situation with Grayfia but she is still a Maou's wife. They can only suspect and question her at best. Grayfia might have decide on her own to stay in the Gremory Palace so that Sirzechs doesn't get into a tight situation between the top-brass and herself.