In general, many of the players I've experienced like to have the option to try anything. In part, it's because they like the system so much they want to be able to do cool stuff. For some it's a bit of power gaming "want to hit the win button", but generally it's a matter of "drow are cool" or "I want to try out this crazy class" or something like that. If the game has options, they don't want to be told "you can't do that" or the "sure, you can play a drow ... but everyone you come across will try to kill you"
Generally a PC will be looking at what they want their character to be, while the DM will be looking at what they want their world to be. So, a player will be looking to get certain options allowed (so they can play the character they want) while the DM will be looking to restrict options to fit the campaign setting. Problems arise when the player wants to do something that doesn't "fit".
To avoid the issue, the DM should probably give the players information about the setting before letting the players start to develop their character OR get player feedback and build the world based on that information.
It isn't so much grim and gritty vs. rainbows, as it is "I want to play X" vs. "My world doesn't have/tolerate X's".