I bet it actually looks like that in Overprint Preview before you add the feather, too.
ID does not recognize grasycale color profiles, on import. It takes the numbers and puts them into the K channel of the document's CMYK working space. The transparency effect forces ID to use the overprint preview to display the effect and you get a more accurate on-screen rendition of what your output should look like. It could be lighter or darker, depending on the gray and CMYK profiles involved.
If you want to get a better idea of how your grayscale will look coming out of ID when you are doing the conversion in Photoshop you can create a custom gray space inthe Photoshop color settings by choosing "Load Gray" from the dropdown, then choosing the CMYK profile that you use in ID from the load dialog, and the Black Ink channel will be used.