The "transparency grid" used to visualise the transparency in a document gets blended with the image using Gamma 1,0 instead of honouring the gamma of your document (usually ~2,2). Confirmed in CS6 through CC2022. (So has probably been around since the dawn of time).
The color of the grid itself is irrelevant. The bug will persist no matter what color you make the grid.
It is the blended the result that looks wrong.
See the more detailed report for a more detailed explanation, and an exaple where you can see transparent blue colors in your artwork appearing too transparent/light and kinda purple(!).
I also linked in the comments one user encountering this problem, where this caused him to think there was something wrong with his brushes and reaching out for help. (Unfortunately his linked image is gone now, but use a large soft brush to recreate his issue).
The 2nd person encountering this issue that I linked was confused as to why his transparent artwork looked very different inside Photoshop and when exporting. Again, due to this bug.
Lastly, Nayhem added in the comments that he too had encountered this bug in the past but had failed to figure out why his transparencies looked wrong. And that is a problem with this bug, it's hard to understand what is happing - I had encountered it many times over the years without knowing why things looked bad...
So there you have one technical demonstration, and several real-life examples from different people for whom this bug was a problem.