User blog comment:B214/High School DxD EX/@comment-1165389-20190507194657/@comment-10330822-20200131044524

The only one who has Gremory is Ex, because he is the only one who actually has Gremory blood. My assumption is that because Issei is marrying into the familiy, he's not allowed to give the Gremory name to his other children. That's why Airi, Robertina, and Mordred are all Hyoudou's, because that's Issei's original family name. Meanwhile the other children took their mothers' last names.