The gray this time's a metaphor for growing up. You've got young people being preyed upon by a mysterious entity that tells them they don't need an individual ego and to join some nebulous gestalt entity that suppresses their individuality. When caught, they join the wall of creepy heads and are estranged from and eventually forgotten by their childhood friends.
Miku was already on the road to conforming by fulfilling societal expectations and moving away to attend college, so she got nabbed right away. Sae had an iconoclastic streak and didn't wanna grow up, so she ended up being spared until she got ground down by life enough that her internal sense of self became weak and she finally succumbed years later. Hama and Yume are fringe weirdos doing questionable jobs that aren't the sort of thing you discuss in polite society, so they're functionally immune.
So when you think about it, isn't growing up a lot like being decapitated by a ghost in a karaoke box?