Systematic Literature Reviews (SLR) may not provide insight into the "state of the practice" in SE, as they do not typically include the "grey" (non-published) literature. A Multivocal Literature Review (MLR) is a form of a SLR which includes grey literature in addition to the published (formal) literature. Only a few MLRs have been published in SE so far. We aim at raising the awareness for MLRs in SE by addressing two research questions (RQs): (1) What types of knowledge are missed when a SLR does not include the multivocal literature in a SE field? and (2) What do we, as a community, gain when we include the multivocal literature and conduct MLRs? To answer these RQs, we sample a few example SLRs and MLRs and identify the missing and the gained knowledge due to excluding or including the grey literature. We find that (1) grey literature can give substantial benefits in certain areas of SE, and that (2) the inclusion of grey literature brings forward certain challenges as evidence in them is often experience and opinion based. Given these conflicting viewpoints, the authors are planning to prepare systematic guidelines for performing MLRs in SE.