The Grey Feather set is incredibly defensive allowing you to tank the two worst statuses in the game with ease. Requiring shadow defense in Vana is a bit revealing about how well you play, if you need it then you obviously can't dodge Slags as well as you need to be able to do. In fact the biggest threat of the Slags is them bodyblocking you.
While this set doesn't offer any offensive perks it will keep you safer in the worst situations. The best armor item to match with it is the PMoS since they share damage and status resists. The normal defense bar may not seem like much but when you are in Vana the Trojans and Vanaduke both are the larger threats and they deal lots of Normal and Elemental damage, Trojans can even inflict shock and this set covers you from all these threats. In fact this armor set is probably one of the best sets to craft for a new player.
The ability to shrug off the two most dangerous (and common) statuses in the game is a huge blessing.
Grey Feather isn't useless in Vana. Fire is everywhere and Grey Feather provides fire resistance.
Beyond that, Grey Feather is the perfect armor set for the Red Roarmulus Twins (defensively speaking).
Oh, and Grey Feather Cowl has built in Prismatic Glow Eyes. You can make some pretty awesome costumes with it like this one