I know it's hard to do Dragons right, but I've thought this ever since the game came out. He doesn't look scary, he doesn't look intimidating. He's too...round. He should be sharper, more jagged edges. There's a reason we use Triangles to indicate Caution and Danger, the points are threatening.
I mean he's a good enemy and whatever but he just does not look at all threatening to me.
Trust me, I'm a random stranger on the internet. Live long, be happy, and try to ensure those around you do as well.
To me the presentation is what counts the most. The way that Grigori is presented in the prologue, the cutscenes, and the whole final battle, it is what makes him threatening to me. Ultimately, however, the feeling I have towards his design and presentation is "attraction-repulsion". When I see him, I want to back away, but something about his mystique (especially from David Lodge's voice acting) makes me want to go closer... kinda like the Arisen, who's drawn to him in a way.
I'll admit the first time I saw him I screamed "EW What an ugly-looking dragon design!", but after my first playthrough, Grigori became my personal favorite dragon in fiction to date for many reasons.
I'll take as an example in Skyrim. Alduin does "look" scary, but the only time he seemed threatening to me, personally, it's when you see him for the first time at the beginning of the game, thanks to the presentation. His silhouette screamed pure evil, and the dragonshouts he unleashes illustrates his power. However, after that, when you see him a few times next, he felt more like a normal dragon,despite the cool looking evil spikes.
Heck, I felt more threatened by Paarthurnax at first than Alduin. Now that I think about it, it's probably because Grigori and him shares some similarities in that regards, that "attraction-repulsion-ness."
Again, all of this is my personal opinion. I know that many people I know would think Alduin is "scarier."