I grew up elsewhere, have lived in the UK for nearly 30 years. Once you've lived in more than one country, nowhere will be perfect, there are always things that are better in the other country.
I was shocked how cold, wet and grey it was.
Agree with that, the UK climate is a depressing aspect of life here. On the other hand, the amount of rain means the countryside here is beautiful, compared to sunnier/dryer countries, unfortunately I seldom leave London, so I don't get to enjoy that.
it was so dirty compared to where we are now
One of the things that struck me about London, when I first arrived, was to see magnificent terraces, properties that are worth (tens of?) millions today, and they'd have peeling paint and dirt on the outside surfaces. I assumed at the time it was down to higher labour costs, but I also think Londoners, just don't "see" dirt and decay, it's an old city with lots of old buildings, they are accustomed to it. (Having said that, I revisited some of my childhood locations recently, and they were much shabbier than my memory. I think they have actually deteriorated, but memory and perception failures are probably also an issue here.)
I'm happy to be here, there are lots of things that are better here, but there are lots of things about the old country that were better, and many still are.