The grey bush-cricket (Platycleis albopunctata) is not only a scarce Dorset species, it is scarce nationally too. It is very much a coastal species and is found mainly along the grassy tops of cliffs along the south coast of England from Cornwall to Kent and so, in Dorset, that means it might be seen almost anywhere near the sea. I say it 'might be seen' as I have only ever seen one, this one at Hengistbury Head!
It is quite a distinctive insect and unlikely to be confused with any other species with the possible exception of the dark bush-cricket but the 'grey' is much lighter in colour than the 'dark'; being, yes, greyish rather than brownish! The grey bush-cricket also appears to be mottled because it has white spots on the upper side - albo (white) punctata (spotted).
If you feel inclined to go looking for it then you need a seaside location with short turf interspersed with bare patches and with some scrub nearby. Good hunting!