The Scotland international enjoyed a stellar debut for the Elland Road side in last Sunday's 3-1 win over Stoke City.
For £3 million, Leeds might have got themselves something of a bargain, and Gray wonders what Wolves were "thinking about" when they sold him.
He told LUTV: "He's a good passer of the ball and reads the game well. When you look at his stats, it just makes you wonder what Wolverhampton Wanderers were thinking about.
"When you think of the price we got him for and his experience, played a lot of games last season so he knows how to handle pressure. I thought he had a tremendous debut for the football club."
Marcelo Bielsa's side visit Derby County this evening and another victory would be superb.
Having hired such a high-profile head coach during the summer, promotion is a must for United and six points from a possible six would certainly strengthen belief that they can do it.