Again, JKR annoys me. I didn't even know about this one.

In an interview a few years ago, she said that we have "met" the Gray Lady and that we would see her again.

Someone on a website said that the only time Harry ever sees the Grey Lady in the entire series (until DH) is outside of the Mirror of Erised room:

"They passed the ghost of a tall witch gliding in the opposite direction, but saw no one else."

I wouldn't call that "meeting" the Gray Lady.