It has been awhile since I have read Tolkien deeply so I am a bit hazy on the timeline...but if the Grey Mountains are a remnant of the Iron Mountains, wouldn't that mean that Aule originally placed Durin in the mountains very near the strongholds of their great enemy?
In fact, according to this
map Gundabad is not far from Utumno.
What I can't remember right now is how near in time to Melkor's initial mayhem and chaos the dwarves were created and awakened. Had Utumno been destroyed yet?
Maybe the proximity to Melkor is the reason why Durin decided it best to head south rather than stay at Gundabad.