Game of Thrones is over, and in the end, it seems that nobody truly 'won'. The Iron Throne itself has been melted into nothing by an angry dragon, the true heir to the throne has been banished to the Night's Watch, the Dragon Queen is dead, and the realm is to be ruled by Bran Stark - the person who didn't want the throne in the first place. The season finale wrapped up the stories of every major character, and while some were satisfying (especially Brienne and Podrick as Kingsguard, Arya as an explorer, and Sansa as Queen in the North), Grey Worm's end is one that book readers know as much sadder than it was intended to be - as he and the Unsullied just sailed off to their deaths.
After demanding 'justice' in the form of Jon Snow's head on a stake, and not getting it, Grey Worm took his Unsullied and left Westeros, seemingly for good. They were offered land in The Reach to settle, but turned it down, and instead Grey Worm said that they were sailing off to Naath. On the face of it, that's a lovely tribute to Missandei, who was from Naath and wanted to return. It's clear that Game of Thrones wanted to show Grey Worm still trying to follow through on the plans he made with the woman he loved, but there's a big problem with this: Naath kills anyone not born there.
Naath isn't heavily explored in the novels or the show, but in the official companion book 'A World Of Ice And Fire', there's some interesting information about the Isle of Butterflies. The Naathi are described as incredibly peaceful, refusing to kill any living thing or take up arms to defend themselves (which would make it a strange choice for the Unsullied to begin with), but also says that the reason the Naathi can be so peaceful is that "strangers... do not live long upon the Isle of Butterflies". The book goes on to explain that although others have attempted to invade Naath "none lasted more than a year, for some evil humor lurks in the very air of this fair isle, and all those who linger too long soon succumb." The fever (potentially carried by the butterflies) does not affect Naathi, but causes strangers to get a fever, followed by "painful spasms," and then sweating blood and having "flesh slough from their bones." Given that Grey Worm is from the Summer Isles, not Naath, that's a particularly painful fate awaiting him and his men.
It's interesting that Missandei would even want to take Grey Worm home to Naath, given that she would presumably have known this about her home island. It's possible that when she was taken by slavers (who occasionally raid the Isle, because it's possible to survive a short period of time there, especially at night), she was so young that she didn't realize the poisonous nature of her home. However, perhaps they did know about this, and the plan is for the Unsullied to only spend short periods of time on the land, or to live on a nearby island in order to protect Naath from slavers without actually living there.
This is still a sweet and fitting ending for Grey Worm, and it's touching to see him fulfill his promise to Missandei and go to protect her home. It's also lovely to see that although Daenerys went mad and was killed, her hopes to stop slavery throughout the known kingdoms are going to be upheld, just a little bit, if Grey Worm and his Unsullied are able to actually protect the Naathi from slave raids. However, devoted fans of George R.R. Martin's lore will know that while Grey Worm sails off hopefully to Naath, he's not actually going to live long once he gets there.