To confirm TRS80_HP's statement, the Monitors control panel *NEVER* shows a true full-8-bit grayscale gradient. Every single system I have ever used 256-grays on shows that same 8-shade gradient in the control panel.
Just as "Thousands" color mode shows a falsely-limited gradient. In reality, "Thousands" color mode would be perfectly capable of showing the same gradient as "Millions" color mode. The sample box is small enough that any mode above 256 cannot be fully shown, so they "dumb it down" to make it more obvious. I presume that 256-gray mode is similar - they just show a gradient to show it is more than 16 colors, not an actual full representation of the full palette.
Just as "Thousands" color mode shows a falsely-limited gradient. In reality, "Thousands" color mode would be perfectly capable of showing the same gradient as "Millions" color mode. The sample box is small enough that any mode above 256 cannot be fully shown, so they "dumb it down" to make it more obvious. I presume that 256-gray mode is similar - they just show a gradient to show it is more than 16 colors, not an actual full representation of the full palette.