For what it's worth, this happened to a model a moderate on CB.
I had taken a few days off from cam sites and when I came back, I saw she had a new moderator. Fair enough, that's perfectly understandable. No issues here. I then got talking with her and she was mentioning things that made me think it was someone doing this. Eventually she copied and pasted me his entire PM conversation and it was EXACTLY this rubbish. I know I shouldn't have but I got very frustrated with her BECAUSE she is a very intelligent lady and I couldn't believe she had let some guy do this to her. I explained the whole situation to her and we even spoke via messenger (face to face - video) and she too fully understood and realized. Although I did get annoyed with her, I also understood that it can be so innocent - as a model can be with a member too. Once she did see it too, she was gutted and couldn't believe how she could have fallen for it. So don't feel bad, is my point. It does happen to everyone - she had been camming for about 8 months at this point.
Greys that want to "coach" you are usually greys... and quite frankly they are just getting you to do positions and all kinds of things that THEY enjoy, not what your room/viewers are necessarily going to want, view or tip for. Unfortunately, like you say, lesson learned. This will make you much more aware of all types of scammers and idiots on the site, they can be very bad and even worse than this.
Typically, i'd always recommend never making a grey or anyone that comes begging for moderator status, because they are there for themselves and will move on to the next model. It's all well and good a person saying "I was/am mod for these 100 models".. well, being a mod for that many models is a BAD thing in my opinion. You need to be able to commit time and be with that mode when she is on. You want to be a genuine fan, who enjoys engaging in conversations, tipping etc. And if you think about it, why did he even need to be a mod to coach you? People who are genuine and sincere with helping you will do so without any special favours in return. So always remember that.
But yeah ultimately, don't let it stop you from doing more shows, just live and learn. Hopefully you didn't let him persuade/convince you to do anything too bad or embarrassing or out of your comfort zone.