The gray stuff on the side of the joists should simply be dust that also lines the interior of duct work when the ducts are present.The picture does not show everything but I presume the concentration of dust is there because the foundation is close to the area and the air is drawn through the space concentrating the dust that will accumulate. Again, this is a presumption, I have the same thing in my duct work, but coating all the sides because of the liner.
Onto the "non-question" question. I do not know what part of the country you are in, or continent, but in the USA in all cases the returns are enclosed. Some jurisdictions allow the joist runs to be "panned" - a piece of sheet metal that covers the entire run of the cold air return so the return air is supplied by the interior of the home, not the crawlspace, as in your case. Other jurisdictions require that the entire run be set in duct work, not just the bottom pan, but all 4 sides. I think the last is for fire safety. Some states or counties are more stringent than others.