Part of it is him going mad, but him going mad is what brings Lews Therin.  I think it's an early example of Lews Therin helping Rand without him realizing it at the time.  This is the sort of subtle hint or foreshadowing in WoT that you can only really appreciate on re-reads.

Rand thinks "She was the most dangerous" in italics which are generally reserved for Lew's Therin's thoughts.  A friend of mine theorized that Lew's therin sensed the ability to channel in her and that with his experience warned him of the danger without him knowing it.

My problem with it being the Grey man tipping him off is that he didn't notice him until after they were dead and they generally avoid detection / being sensed.  I think the Grey man was more of a subtle plot tool to show the readers that they were in fact dark friends.  I have to admit I've found this part of the chapter to be really confusing.

Since he had just met Perrin in 'the dream' and realized it really was him and thus him saying "it really was Perrin, I have to be more careful", it could be implied that he had other dreams, possibly of the merchant having a dark friend meeting in the dream that were "between the lines" so to speak of the dreams that are mentioned.

It's hard to say exactly what RJ's intention was with the 11th man being a gray man, it's especially confusing because Rand makes a point of mentioning he hadn't noticed him (the only clue he's a grey man), but then Rand says to the man (somewhat sympathetically I might add) "you chose the wrong company friend", which implies the grey man got killed by including himself with that party...meaning he would have killed them all regardless of the Grey Man.