The direction shows up gray as if you could walk into that room and create a new zone.
When you try to go in that direction, you (correctly) get the "Alas, you cannot go that way." message. The exit should not be shown on the exits list because it is not in fact a valid direction that you can go.
If:
The direction shows up gray as if you could walk into that room and create a new zone.
When you try to go in that direction, you (correctly) get the "Alas, you cannot go that way." message. The exit should not be shown on the exits list because it is not in fact a valid direction that you can go.