Greymatter runs well enough on DH, but DH doesn't "support" it in any sense other than the fact that the DH environment is adequate for Greymatter. I have used it several time. You can set up your own cgi-bin, but it is the same as any other directory you make, so you need to manage the security aspects of that yourself.
Greymatter was great for it's time, but is is getting pretty "long in the tooth", now and there are IMHO several better packages out there that are more powerful, customizable, and secure as it relates to the increasingly popular comment/referrer spam problems.
I highly recommend WordPress, which is now available from your control panel as a "one-click" install.
You can see a Greymatter installation runnng on dreamhost at http://suejennings.net