Gray fodder or build?

Fodder, but rather than Zanbato, I'd fodder Sword Valor. That way Olivia helps with training your sword units both as a dancer and an SP booster.

Zanbato is kinda niche, not worth it to fodder it to Olivia. She wants Ruby Sword or Slaying Edge instead.
Keep him for Sword Valor. Whenever you are training a sword unit (there as lots of them), bring Gray too. The unit will get SP twice as fast than without him. Very useful at saving time & stamina.

Keep Gray for sword valor. Foddering him for just that is completely pointless. And he will be a sword savior when it comes to building sword units from the ground up.

Keep him,sword valor is a great skill its a waste to fodder him off long term wise unless you pull another 1.