Hi, Egirl and welcome to the forum!
Grays are picky eaters - I agree with you on that 100%! I am always very successful in switching my new birds to a good healthy diet but grays are always the most difficult of them taking years to get to a nice range of produce (I had a gray that took five years before she tried her first blueberry even though she got them once a week all along). Navre is correct on the information he gave you. The truth is that all pellets are unnaturally and unhealthily dry for parrots. Parrots in the wild eat fresh plant material and this means a water content of about 85% consistently because even the nuts and seeds they eat are 'green' (still in the plant) which means a water content of around 50%. Your bird is trying to make this VERY dry (10% max moisture) food more palatable and healthy by soaking it in water (smart cookie you got there!) so, please, do not try to prevent him from doing this as it is to his benefit (maybe you can put two water bowls so he will always have clean water to drink).
I would also recommend you consider switching the pellets your feed because the fruit blend is, by far, the worst pellet there is out there (full of artificial colors, flavors, preservatives and, worst of all, SUGAR -a complete no-no in a parrot's diet!). I don't feed pellets at all. I've been doing research on parrots dietary ecology for over 20 years and have longa go reached the conclusion that pellets are not and never will be the best dietary option for them so I feed a fresh food diet that consists of gloop accompanied by raw produce in the morning and for all day picking and a measured portion of a seed/nut mix for dinner (the grays get mostly nuts which I roast in my oven to prevent a too high level of aflatoxin) with a multivitamin/mineral supplement added twice a week (for the vit D3 and any other lack they might have). For example, this morning, they got cinnamon flavored gloop with orange pepper, watermelon and chicory as 'side dishes' (the grays went for the watermelon, first, of course
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My grays are picky eaters (well, compared to the other species) but they eat all their gloop (and this has fresh corn, peas, carrots, butternut squash, sweet potatoes, broccoli, a bit of blue curly kale and some artichoke hearts) and love juicy things like grape tomatoes, pears, peaches, grapes, cantaloupe, pomegranate seeds, blueberries, blackberries, etc. I don't feed dried fruit, either, just fresh ones but I do mix some of the naturally dried without preservatives ones (like raisins, currants, figs, dates, etc) in their gloop (I reconstitute them a bit by soaking them in warm water overnight).