Oven caught fire while using self-clean
Grease fires do happen with self cleaning ovens, it's why I stopped using that feature: I didn't feel like I could leave it to get on with the cycle safely and I couldn't sit there for hours. 

Cleaning it afterwards isn't a big deal, the grey dust is ash and you can vacuum a lot of it out once the oven is clean. If any ash remains good old soapy water will get off the rest.