Are you asking for children's literature, or YA? There are quite a few YA, morally grey, literature available; not incredibly popular, but existing. I would argue that it's difficult to really develop grey morality in a 'child''s worldview, since what a child is is more difficult to define. That said, I would say The Demon's Lexicon, by Sarah Rees Brennan, is quite morally in the grey area; the protagonists are really not very 'good', nor are they very 'evil' as in the case of an anti-hero.
...I believe that it would also be wise to introduce grey morality age-appropriately - because if someone is young enough, they might go off humanizing the villains, and humanizing a villain that would predate on someone that young would not be wise.
Are you asking for children's literature, or YA?
The younger the better, I suppose. Although library and bookseller classifications have to draw the line somewhere, there's really a continuum of target audience ages. Anything that is widely read by children should count, regardless of how it's classified (although how it's classified may give a reasonable estimate of whether children read it, in the absence of real data).
Eliezer has referred to HP as ‘for children’ when explaining some of the changes that MoR (which is not for children) has to the back...
Update: This post has also been superseded - new comments belong in the latest thread.
The second thread has now also exceeded 500 comments, so after 42 chapters of MoR it's time for a new thread.
From the first thread: