At the moment the yellow and red are both live with the ignition on, but I'm pretty sure that is a bodge because there are 4 or 5 wires all connected together, one of which has a label BATT and another has a label IGN. The radio itself should have one permanent live and one switched live, but it again has both switched with the ignition. I'll probably end up re-wiring it as per the diagram, but I really want to know what the grey box is!