How do I start the questline Grey's Training and its subsequent side-quests? I have talked to Grey in Red Keep countless times but all he says is hi and no quest ever shows up on the request board about it. DO I have to lose to him in the encounter in Thremten to be able to start the questline or something, because I tend to avoid that fight until I know I can beat him.

You need the fight at Thremten before you can start the next step of Grey's events. It doesn't matter whether you win or lose.

The training event, which starts with a note at the Aldlyn city board, requires that you have constructed the bathhouse in Aldlyn via the overview map and had the event with a mysterious woman in the outdoor bath.

Ok. I didn't know I had to talk with the person atbthe bath house first.