McSheffrey, who scored one goal in 11 appearances while on loan at Leeds last season, accused Grayson of not showing him enough respect when deciding not to make the former Birmingham striker's move to Elland Road permanent in the summer. The 28-year-old has since fired four in his last five games for Coventry.
But Bates, whose side take on Coventry at the Ricoh Arena on Saturday, said: "When you go on loan to a club you have a magnificent opportunity. It's a chance to get under the spotlight and the fact of the matter is he was very disappointing."
He added: "He didn't make an impact. It was down to him not Simon Grayson. If you want to be successful you look in the mirror and ask 'what could I have done?'
"No doubt he will be trying to prove us wrong and him right on Saturday. He has done well for them and I would say you're better letting your feet do the talking."