Not sure about African Greys but I asked this same question not too long ago about my blue and gold macaw and it seems to be a normal thing for macaws and amazons. I'm sure it's probably normal for African Greys too.
Here is a video of Jacob my blue and gold macaw playing rough, he likes tossing toys and gets extra excited when the toys come back and hit him in the head.
[ame="https://www.youtube.com/watch?v=87_nowQ8q9M&t=25s"]https://www.youtube.com/watch?v=87_nowQ8q9M&t=25s[/ame]
Enzo loves to play rough with me, beaking my hand with hardly any pressure, fluffing up etc.. I will do so with her but im VERY conscious of her getting too excited and going for a chomp of my hand. So ill always stop prematurely if the signs become apparant.
Not a Grey, but sometimes Salty gets way, way rough with his metal toys ( 2 tubular stainless bells and an all stainless wind chime type toy), both he will attack, similar to how Levi above does it, only he gets almost frenetically fast and involved, squealing in delight. That is NOT the time to see if he wants to be picked up or scratched.
But when he is working on a wood toy, he is more than happy to include me, and he never chews hard on fingers. Salty also likes to play rough away from his toys, with him on his back in my hand and rough housing with the other hand.
Smokey ( a TAG..r.i.p.) would go bonkers over a toilet paper roll! Tearing it apart and tossing it in the air,often times yelling at it. I'd have to wait until she calmed down before trying to interact with her coz she'd still be so wound up that there was a very good chance I'd get a nasty CHOMP