I don't think they ALL do but alot do. I don't think they die from it but they get lumps on their bodies. My grey has a few pea sized lumps under his tail. I just keep an eye on them to make sure they don't get any bigger.
My first trainer told me the same thing. Then my friend bought a gray Irish Draught cross and she told me the vet ran a some type of test on him and that he wouldn't get melanoma? I don't know how true that it... maybe he just didn't have it then. I've never owned a gray so I don't know too much about it.
We have seven greys at my barn and four of them have lumps. One horse has a severe case with large lumps on his head, neck, sheath and under his tail. The dentist came to do his teeth and found some inside his mouth too. Poor guy, he's been loosing weight so we think they may be all the way through him. He's 28 so he's lived a full lifespan.
While it is an exaggeration to say that all grays will eventually get melanomas, statistically most will. The most common place to find them is around the base of the tail. Melanomas can be quite aggressive, however the ones we see in gray horses tend to be less so, growing quite slowly over time. So no, not all grays will get melanomas, but most will. Few of them die from these, which is good news.