You want both closed. After you've emptied the black tank and adequately flushed it, dumping the grey tank helps to clean the sewer hose (the soap in the water helps too). If you always have the grey tank valve open, you'll end up with no. 1 & 2 residue inside the hose. If you're already outside to empty the black tank, it's no big deal to empty the grey too. If you leave a tank valve open, your RV is acting as a vent for the CG system and that's maybe something you want to avoid.
Above poster may have a point on a critter of some sort getting into a tank but it's not likely to jump up past the toilet valve at the moment you open the toilet valve. If you keep the tank valve closed you're okay. However:
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