Remember to activate "Depth Texture" and "Opaque Texture" on the Universal Render Pipeline Asset for the distortion to work.

You can find it on Edit > Project Settings > Quality > Rendering > Render Pipeline Asset.

In our case, it's named "URP-HighFidelity-Renderer.asset"

A gray mesh will appear if you don't activate the Depth and Opaque Texture options.

Feel free to remove distortion on the VFX Graph assets if you wish.