I know little of Gravity Forms, but this is what I think is happening.
Members in Private Site mode essentially calls auth_redirect()
on every page load to force a login if the user is not already logged in. The one exception is the wp-login.php page, because it sets up a circular situation where loading the page causes a redirect to the login page, in which by loading causes a redirect to the login page, in which by loading… You get the idea. Thus a built in exception for wp-login.php
By using a gravity forms page, Members does not recognize it as a login page so it redirects to the login page, which in turn causes a redirect to the… here we go again! But there is no built in exception for gravity forms, causing a problem of runaway redirects.
The solution would be to get Members to recognize your Gravity Forms registration page and not redirect when it loads. This is done in members/components/private-blog/default.php. The problem is your custom code here could be overwritten when the plugin updates. There is no filter hook you can use to do this cleanly. It would have to be a dirty hack.