The Gray Fox was the head of the Cyrodiil Thieves Guild only. Therefore, the Gray Fox making an appearaance is unlikely.
Edit: Furthermore, the Bards Guild is located in Solitude (I think) whereas, the Thieves Guild is locatd in Riften.
The gray fox
"He's been around for hundreds of years. I've heard tell that he is immortal. I don't know about that, but he sure ain't normal."
"He's been around forever. It must be 300 years or more since he took in charge. I'm not sure he's even human."
"Nobody knows who he really is. He's always hiding under that weird cowl. Kinda spooky if you ask me."
"He is the greatest of all thieves. I have heard it said that he stole his gray cowl from Nocturnal herself."
"We don't talk about him in public. The Thieves Guild follows the Gray Fox. However, we make sure that most folks think he is just a myth."
The gray fox is not 1 person .. the Cowl is cursed
The Daedric artifact Gray Cowl of Nocturnal is a hood that was supposedly stolen from Nocturnal over 300 years ago. Whoever wears this hood takes on the identity of the Gray Fox: the wearer's fame, infamy, and bounty all become those of the Gray Fox. Any crimes committed (or good deeds done) are attributed to the Gray Fox rather than to the character wearing the hood.
Alot Daedric artifact have returned ... it has been 200 years since O .. he could of moved on .. who knows .. but he was not just the leader of the Thieves Guild only.