Well I am not sure what kind of response you were expecting, Grail did not come to do violence. He did not bring spirits so he will not be discovered by magical security, but he brought some security knowing that you guys are dangerous criminals and the original security is also formidable.
The way I see the situation, if Grail butcher you and take the pixies he alienates his newly acquired decker which is rather fond of Sovereign. So nobody has threatened you, but it is also possible that he will use violence if you refuse to deal with him. You'll have to do your own risk assessment and determine who you get in bed with.
I hope it helps, I was uncertain what you wanted to hear, but do not feel compelled to behave one way or the other. Story is flexible enough for you to be yourself.