Why does GR mean hail in a METAR? Wouldn't you think they'd choose HL instead?  

That might confuse pilots who frequently see SS (Sandstorms),
 DS (Dust Storms) and VA (Volcanic Ash).
The French word for hail is grêle which is abbreviated GR.  METAR is an international standard so you will see some non-English words included in the METAR.