Yeah, the other sets never happened.
And yes, the ones that came with the playset are black. There was also things called Swarm Packs, which were basically what you got, only mystery boxes, with the standard yellow marines and black aliens, and that was the only way to get Drake, Vasquez, and a bunch of other alien types. The Grey Marine/Blue Alien sets were SDCC exclusives. I see them at cons from time to time, but I've never picked them up, as they're always like $10 a set, and I can usually find better stuff for that kind of money.