Gray was sent to capture contestants for analyzing by an unknown civilization
In Episode 2, they accidentally slip up and say "Capture" instead of Eliminate. And when they eliminate Air Pod he is sucked into the ball. He also wants fish to analyze. It's clear Gray was sent to the planet to analyze it for an unknown purpose. Shapy is a pocket dimension
He is a god inside the pocket dimension, able to warp reality in it to bring whatever objects he needs to beat the contest. The object must be somewhat small as he himself is small. MOSS and BFDI may share a connected universe
Literally one of the contestants is named BFDI Mouth, it's possible some of the MOSS Gang like BFDI Mouth were supposed to be on BFDI but went rogue. The Sea of Clouds
The Skyfish from Episode 2 and The Sea of Clouds itself appear to indicate that the planet has lower gravity than normal. As why would a fish be in the sky, let alone evolved to survive only in the sky, lower gravity appears to be the reason for that. A species of fish, let's say Exocoutaus, a genus of Flying Fish, we're used to jumping high distances for food, however, they started eating things high up in the sky that they could reach, over time, they evolved to be in the sky longer, and thus don't need to be underwater anymore. MOSS is actually a Deconstruction of Object Shows
Notice how in most object shows, specifically BFDI, contestants can get away with plain cheating, like in BFB 14 when Yellow Face and Foldy pass Four fake emeralds. Well, when Shapy tries to create a fish in Episode 2, his team becomes immediately disqualified and is put up for elimination. The contestants themselves are also a smaller size, to reflect the nature of an actual object show. In the first episode they also need to directly submit team names to Gray, rather than the typical naming style. Expect more examples like this in future episodes. The Planet is hackable
Gray's Power seems to be technological in nature, and can do things like alter the weather, coupled with the fact that in Episode 2 Unity Logo downloads a fish, and Gray transmats it into the real world, shows that the Planet has odd quirks where fish can just be created. Not to mention the apparent reverse world hidden inside another plane of reality. The Objects Have a life beyond the show
Although subtle, it appears that the Objects have been living in relative peace for a while, with "Airpod being mean these past months" being mentioned in passing in Episode 1.