Title says it all. For those of you who haven't played Oblivion, here's the http://www.uesp.net/wiki/Oblivion:Gray_Cowl_of_Nocturnal

Basically, Gray Cowl of Nocturnal is the "Cowl of Office" of sorts for the Thieves Guild's Guild Master. Those who don the Gray Cowl is called "The Gray Fox", which is the Thieves Guild's Guild Master

It is handed down through generations of Gray Foxes to the next Gray Fox. At least up until the events in Oblivion

How come the Gray Fox is not in Skyrim? Is it perhaps because the Thieves Guild branch in Skyrim is not connected to the Thieves Guild in Cyrodiil?

I assumed so since I haven't heard of the Gray Fox in Skyrim.

That would be my guess, it also wasn't in Morrowind or Daggerfall.

However Morrowind had the Bal Molagmer, and to some extent the Nightingales fit a similar role in Skyrim.

Hmm... can't help it then. I was a bit excited when I saw Bust of Gray Fox. The cowl is a very awesome thing, could kill Nazeem and just walk away with it.

The Gray Fox is the leader of the Thieves Guild in Cyrodiil only. If we look at Morrowind, Cyrodiil, and Skyrim's Thieves Guilds, you'll find they are all very different, with different goals and different methods. Each province has its own Thieves Guild, it's not a massive organization where all the provinces interact with each other and one person gives orders to everyone.