the third harness is for the vehicle speed sense and steering wheel controls and sub if you have them. that plug doesn't go to anything with an aftermarket headunit. that harness you got is correct. the black one plugs in to the yellow factory plug and the grey goes to the black factory plug. one of them is a different size, but just line up the clips in the center and you're good.
did you get the dash kit and antenna adapter as well?
2010 Volvo C70
2011 Harley FLHTK
Midwest Crew #22