Signed from Birmingham by Iain Dowie, Gray has sparkled and disappointed some of the City support who have criticised him in recent matches.
Chris Coleman is aware of this and told the CT: "I think Julian has struggled with his confidence. "It is difficult when the team does not do as well as expected and maybe individuals don't live up to their reputation.
"The fans can get on their backs and it is hard but there is one way to get through and that is to go out there and do the business.
"Julian was as poor as everyone else in the first half at Watford. The second 45 was different - Julian was a bit better and he put a good ball over for the goal. "We saw at Sheffield Wednesday that when Julian is positive and using his energy both offensively and defensively he has a very good game. He has done ok but has got to do that more often.
"The big question mark with him is that everyone knows he has got talent and ability and therefore they would like to see it a bit more. "He is certainly capable of doing it but he needs to do it more consistently."