Double checking what you fished around in with the magnet... the pan of drained oil? Or the bottom of the headstock itself?
Most of the casting and machining crud in mine was sunk to the bottom of the headstock, below the drain plug height in the last quarter or half inch of oil that doesn't come out because it's below the height of the drain plug. There was an absolute ton of it.
My lathe isn't a Grizzly, but it's just as Chinese so I'd put a magnet past the gears all the way to the bottom of the headstock and check the bottom and all the corners.
If they really got it squeaky clean in the there... good on them. It should be.