First of all, Welcome to The One Ring, Double-G!
Yes, GW plastics come grey. They're not actually painted, that's the material they're made of. If you'll check on the back of your box, it says that all models come unpainted and unassembled.
Welcome to the hobbying side of strategy boardgames! It will require a lot more work on your part than lines like herocliks, but you will be able to personalize your army to a level not common in other systems.
I don't honestly know where there is a fansite that focuses on Warhammer, but I can guarantee you that there are several. You can also check the Games Workshop site for helpful hints on painting and converting your new minis to all kinds of new poses
(is that spelled right?). Believe it or not, you can also find a large number of walkthroughs on youtube - a fact I only recently discovered myself.
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Smite the iron, shape the pewter, sculpt the putty.
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