Grayson said everyone at United had been "deeply saddened" by news of Rifleman Aidan Howell's death.
He told the Yorkshire Evening Post: "When you think about the bravery shown by people like Aidan, it really puts football into perspective. Our hearts go out to his loved ones."
Kent-born Rfn Howell got the chance to meet the Leeds team before August's home game against Exeter City, ahead of his tour of duty in Afghanistan.
Club officials also recently arranged the sending of a Christmas card that had been signed for the 19-year-old by United's players.
Rfn Howell, from 3rd Battalion, The Rifles, was killed in a blast while out on patrol in the Kajaki area of Helmand province on Monday.
He attended the Army Foundation College in Harrogate before completing his training at Catterick. Paying tribute to Rfn Howell in a statement, his family said: "He was known as 'Sunshine Boy' and he was a loving son, grandson and a cheeky and cocky brother."