The Grey Knights were never a Legion, if memory serves. The threat of Daemons didn't really rear its head until the Horus Heresy, so they'd likely be post-heresy. There certainly isn't any mention of their exploits during the Heresy (the only other Legion like that was the Legion of the Damned, and the last, unknown Legion), and they would've been ideal people to take to Horus' ship in the last battle, that sort of thing. They would've been there had they been pre-heresy.
Since they're just a chapter, they'd be pretty small in comparison.