Lady Grey is the Vanguard leader. She can be found as an ally that must be protected in two different missions. When found in the Help with Conference Security mission, she will have a faction of Vanguard Shield and a rank of Henchman. She will have been captured by the Nemesis Army and will need to be assisted and freed from her captors. She will join you for the rest of the mission as an ally. Once you free her, a wave of Nemesis soldiers will attack her. Being a mission objective, you need to free her, but not to escort her. She must survive the whole mission, though.