Please bear with me; it's just that there are a few common misconceptions about Gren that I would like to discuss. And perhaps throw in an opinion or two.
I've also seen him referred to on Wikipedia as a transwoman, another thing which he is not. He didn't choose to grow a pair of breasts as part of his identity; again, it was the side-effect of drugs he took while in prison. Said drugs also probably gave him his feminine figure, since the opposite sex hormones can redistribute the body's fat to make it appear more like the other sex.
But then what about his comment "I am both, but I am neither"? It very well may just be his acceptance of his current form. When you look at all the pictures from his youth, he doesn't seem to be trying to be anything but a man. At very most, I would say that he is androgynous or altogether genderless. As for his bout of cross-dressing at the end, I personally think there were two reasons for that: one, he needed a disguise, and two, he wanted Vicious to see what he had done to him. But that is strictly my opinion.
So why didn't they mention it more explicitly then? The real question is did they have to? Gren's sexuality wasn't vital to the storyline, just the fact that he had strong feelings for Vicious. The Powers That Be showed they weren't afraid to include gay people in the show, from the two men that Faye bursts in on in Session 8 to Julius the cross-dressing prostitute who works not too far from Gren. Cowboy Bebop takes place over 50 years in the future and worrying about the whole gay/straight thing is so early 21st century.
That is all.