Gradel received the suspension after being show a red card on the final day of last season when the Whites beat Bristol Rovers to clinch promotion to the Championship.
Grayson said:"He's going to suffer by having a four game ban and he's been fined by the club. He knows he's let himself down, me down and the fans down."
Gradel was given a straight red for an off-the-ball incident with Rovers' Daniel Jones in the first half at Elland Road, incurring an automatic three-match ban.
But his attempt to confront referee Graham Salisbury led the Football Association to increase his suspension by a further game.
Grayson added: "When you do make mistakes you have got to learn from them. And I like to think that he's learnt from it and that other players should learn from that experience too. He's disappointed in what happened as it could have had a major influence on how our season finished."
Gradel will not be available until United visit Watford on August 28.
Source: BBC Sport