I only tried it with a blue one once (a helmet where the magic consists in the sockets added) and I could not select it. I never tried a grey one, though.

Hmm, I have to admit I rarely find socketed items that I really like. Of course you find lots of socketed items but I don't think I found more than one armour with four sockets for instance and rarely one with three. It's pretty easy to find socketed weapons but if you're searching for a certain type of weapon with a certain number of sockets it gets way harder already. And I don't think I've seen any socketed item sold in Nightmare or Hell, so you really have to find one.