One reason grey snow might be preferred is that it probably has a little salt in it.
I would take this as an opportunity for fun. Take her out with a bowl and show her how to "collect the best eating snow" using the same tone and excitement that you might use when showing her how to pick vegetables in the garden. Find untouched snow and show how to scrape off the top layer.
Then bring it and make snow-cream! Do several small bowls with different formulations and make it a taste test. Experiment with salt perhaps?
Now empowered with this new maturity and refined taste, she will go to school and make good snow eating choices! Maybe even teach that silly leader and her peers a few things.
I hope this helps. This is my favorite approach with my son -- throw creativity and positive attention at the solution.