That's not true. Gray horses are born solid-colored (unless they are Appaloosa or pinto, in which case they will have spots) and gradually turn white, starting from the head and moving back. They may have an intermediate roany appearance but they certainly aren't born roan....and they must have at least one gray parent to turn gray. This horse shows no signs of graying, but all the classic signs of "varnish" roan patterning. Now varnish roans do eventually lighten, but they never turn completely white the way grays do. See examples:
I own a young Arabian cross that was a dark roan color when we first got him but now he is a gray with black skin. It is true you will not get a true gray with light skin because roans do not have light skin but you may get a dark skinned gray. Their coloring is not truly gray, but the term used when their coat turns is called graying out. Sorry for not being specific.
There are certainly light-skinned gray horses out there. They aren't common, because there are so few pink-skinned horses out there anyway, but if you had, for example, a cremello with a gray gene, that would be the result.
Or how about a gray tobiano? Mixed skin color there.
Arabians also do not have the true roan gene. Only rabicano, sabino, and gray. And grays are not born roan, they just turn that way in transition.