I haven't completed first steps quest and Gandalf is following me around the map. I was wondering, what if he follow me to Utumno ruins, where i would push him into the portal? Will he kill utumno orcs?
The Grey Wanderer is assigned to the invisible "Neutral" faction, meaning he won't be attacked by anyone and no one will attack him. See the page on factions for more info.
No, as the Grey Wanderer is purely a story character, and is not supposed to have any further use than introducing the player to the game, I doubt that he will attack anything, and he might even be invincible.
On the Grey Wanderer page on the Wiki it says that he will attack if he is attacked, but he is invulnerable to all damage. It also says Balrog will attack him on sight, and vice-versa, but he will always win.
