The grey stuff sounds like powdery mildew - I've got it on some of my borage plants. Apparently caused by weather conditions (too dry at the roots and too moist at the top) I wouldn't think it has anything to do with the caterpillars, they just eat the leaves and leave caterpillar poo all over the place. Pick off the caterpillars, or spray if you're that way inclined. As for the mildew, are your plants in pots or in open ground? How big are they?