Unfortunately, though all computers have such a key, not all computers send the same code when this is pressed. Some computers send a character called "backspace", "BS", or "control-H", others send a character called "DEL" or "delete". For this key to work correctly on Grex, you need to tell Grex which code it sends.
Unfortunately the label on the key doesn't tell you anything. Some keys labeled "delete" send "backspace" codes and vice versa.
If you are going to be connecting to Grex by using a telnet program or comm program running on your PC, then there is almost certainly some place in the setup menus where you can select which of these two codes is sent. You might run it and look to see how it is set. Or you might just choose "Backspace" now (this is probably a bit more common than "Delete"). Then if you have problems backspacing when you get on, find the setting and change it.
If you are connnecting from another unix system, try the command "stty all" or "stty -a". One of the other of these will give all sorts of cryptic info, among which will be something telling you that "erase" is set either to ^? (which is "Delete") or ^H (which is "Backspace").