I'd leave the sidelights white and paint the door-any color would work.

I think it would look nice in gray.

Nancy is right. Keep the sidelights white, and the door can go any color. Where is the home located? Maybe drive around the neighborhood and look at what others have done and find something that speaks to you. I would add two lovely potted plants on either side too.

what are your colors as soon as you come through the front door - that might give a clue what to select - you don't want too jarring a difference.
I disagree with the others about not incorporating the sidelights with the front door. I have the same set up and have done it both ways and find that making it cohesive makes the entrance look more in scale and welcoming.