Internet Explorer, Mozilla and Chrome all can show Site Advisor ratings.
I can think of a good reason for "amateur" sites to go gray (or go "bald"); they tend to add lots of links without checking the links, and site advisory services consider the quality of secondary links offered. McAfee may believe it cannot keep up with or vouch for secondarily linked sites, but it could add another color code saying (like blue or turquoise) meaning just that. Corporate and government agency sites tend to do much less secondary linking and contain legal disclaimers for them.
Update: March 1
Even Google's own corporate blog turned up as "gray" on McAfee Site Advisor this morning!