I got the exact same call. I tried to block caller ID with *67 and then called the David Gray number, but the person with a south Asian accent who answered knew my name immediately. My advice is to not call back no matter how curious you may be. If you want to have fun with them, call from another phone than can't be traced to you.
The message was from a recorder (male). It repeated about the 3 times and at the end a female voice said Good Bye.
Message as recorded on my voicemail: "Hi my name is David Gray and this message is intended to contact you regarding an enforcement action executed by the United States treasury intending this years intention ???. Ignoring this will be an intentional second attempt to warn initial appearance before a magistrate judge or gran jury for a federal criminal offense. My number is 732-347-8794. I repeat 732-347-8794. I advise you to call work with us and help us to help you. Thank you."
I received the same recorded message from David Gray. It a scam or prank. He is very busy today: look how many calls he did in the same day. Probably, doesn't have a regular job.