The gray emerald is the Control Emerald...which seems to be what Knuckles uses to drain Robotnik of his emerald powers.
The other one is the Master Emerald which seems to be the most powerful one and has the most Chaos Energy. I think it's more powerful than three emeralds... (remembering Sonic had six of the split emeralds in his posession once and never turned in to Super but a second sitting on top of the Master Emerald and he nearly turns Knuckles into a red puddle)
I'm all confused about it as well....
"Fight the good fight anyway you can, you never know your strength until it's tested"
If the mini-emeralds seen prior to Power of the Chaos Emeralds are the result of the chaos emeralds becoming hugely de-powered during their time away from the Floating Island, why does the grey emerald fit conveniently into Knuckles' hand whenever he needs to use it?