First photo is my colt Zane, when he was born. He didn't have a white hair on him (except for his markings). But he is turning gray. He started getting white hairs when his baby coat shed (which was also very dark, dark bay). Looking back in it, he also appeared to have a little frosting in his tail. But none of the white around the eyes and face you always hear about.
So yeah, I bet your foal is a gray too. Like Smrobs said, the silvery legs are kind of a give-away.
Here is a comparison for you. First foal is a gray, second foal is a bay.