Agree and strongly disagree.
New Vegas got me depressed the first time I played it and almost got shelved because I found the burden of all the moral responsibility to cumbersome for me to even move forward and make decisions. After giving it another shot though, fell in love with it.
The conflicts seen in New Vegas are all based on real world conflicts, either historical ones or ones we can see now in this day and age. It's realistic. As such, I appreciate the game immensely for actually giving me conflicts and questions I could expect to encounter in the real world. This isn't a game that holds your hand, lets you escape reality and dream about a world where you can be Superman and save everyone just by farting glitter, this is a game that knows you've gotta turn it off and face the world sometime.
As such, I don't think there's such a thing as "too morally grey." The only way I think it's possible to be too morally grey is if the conflicts are legit just tacked on for flavor, say for example if New Vegas had a faction choice that was almost flawlessly perfect, but the faction leader demanded you mercilessly wipe out the Kings and Followers of the Apocalypse because a Follower slept with his now deceased wife. That would be a case where he opposes them not fundamentally and ideologically, but rather it'd be clear the devs said "crap, he's too morally good. Quick, invent some excuse as to why he has a personal grudge against some of the nicer factions!"