User blog comment:B214/High School DxD EX/@comment-50.139.232.230-20160508232608/@comment-27876048-20160510060322

Like Red Hunter said there is no answer but just for arguments sake the best answer I can think of in regards to Ex having the last name of Gremory is the practice of adult adoption (I'll post a link). Adult adoption is a practice in Japan which has to do with adopting a male (like Issei) from a family of lower social standing than that of the bride's family. The reason some families do this, even today, is usually to continue the family name.

https://en.wikipedia.org/wiki/Japanese_adult_adoption

In regards to the other kids it is quite possible they were born out of wedlock, which in that case (according to japanese law/tradition, I think I'm not a 100% sure on this) the child will take the mother's surname instead of the father's.