Headshots may be messy but at least they have potential for distance. Whereas their new Nosferatu friend's method of zombie smashing, while effective, is quite a bit more close-range. Grave is really not used to using his Potence skills for violence. In fact, he's very rarely one for violence in general. He is, for all intents and purposes, usually a very gentle feeder. Also, there is a big difference between the feeling of one's fangs sinking into flesh and the feeling of one's fist sinking into skull. It's a bit disconcerting, actually. Extra disconcerting that you have to do it twice to make sure they go down and stay there.
While he discovered that fact while dealing with the first of the zombies to attack him, Grave is only fully reminded of it when he knocks one down only to have it come back at him and chomp down on his arm. The look on its face says that he is not as tasty as it obviously expected. Which also says that it's obviously incapable of any great deal of thought if it even for a moment entertained the notion that he, of all people, might be edible.
"Now look what you've done," he scolds as the zombie drops its prize of a now disembodied vampire arm and actually spits out a hunk of the rotting flesh. "I was using that." To smash your head in.