Unfortunately grey squirrels are classed as vermin. If it was a red squirrel then it wouldn't be and the RSPCA would probably come and rescue it. Because greys are classed as vermin though they won't come and rescue it, and spend time and money on it. In fact some of the info I have read on them suggests that it is illegal to release a grey squirrel once you have caught on as it is vermin and shouldn't be (re-) released in to the wild. It is classed like rats etc, they wouldn't come and take a rat or mouse from you that you found in your garage (except pet rats and mice obviously.)
I personally don't agree with this, but thats they way they look at it. We had a pigeon in work one day and it was too high for us to reach to rescue it, the RSPCA wouldn't do anything, so they called pest control in and they shot it. I was very glad I wasn't in that day, I wouldnt have been happy!