Please don’t worry! This is commonly experienced as the metal and the oil interact. Even the residue of makeup or skincare products can cause this. It’s not harmful and this does not mean that your wand is defect or ineffective.
In Ayurveda, 'the graying effect' is even said to be toxins getting pulled out of your skin.
Thoroughly clean your skin with a natural cleanser before starting the massage. After your massage session, apply some more oil on the face or body, rub it in with your fingers, and wipe off using a towel dipped in lukewarm water to clean off the gray. If you feel the need, you can use a natural, moisturizing cleanser to clean your skin afterward.