Oh, this sounds very familiar! We tried to paint our son’s room a deep royal blue…he was older than your son, but it was his request also. After three coats and not liking it, we had to apply another couple coats of primer to get it back to square 1. Consider an easily removable wall paper if you want a darker shade. Your grey paint is very versatile, so if you can get away with doing the blue on only an accent wall or under a chair rail or above wainscoting, the grey should work with the blue. 6 year old tastes can change by the moment…managing his expectations may be your bigger challenge! Good Luck!