I believe many beginning, even more advanced artists, believe it is a frivolous, unnecessary exercise to create a gray scale. Even though the title is a play on words, the true meaning is real.
What I have learned from years of teaching is that many can't create a gray scale, and when they do try, they realize just how difficult it is. Being able to discern and create a nice clear, separation of values from white to black is a great way to train the eye to see value changes. Recognizing that every color fits somewhere on the gray scale should be even more incentive to create and master the gray scale. Doing so will greatly improve your sense of a color's value.