This happens on my commuter bike with the loose-bearing headset, doesn't happen on the road bike with the sealed-bearing Chris King headset. It's not likely a big deal, but my manual says it IS important when wiping that dirt away to take care to not to push the contaminated grease back into/towards the headset/bearings. Unless your headset has seen a lot of water, or feels rough, I doubt it's anything to worry about.