This colour is named after William Payne, a painter in the late 18th century. Payne's Grey is a dark blue-grey colour that can be used a mixer in place of black. The way I use it is to sometimes add it to other colours to make them darker, to quickly create shadow tones. Another use is to paint really dark or black areas. It saves me time from having to mix blacks with primaries or with French Ultramarine and Burnt Sienna.
These are the three Payne's Grey that I have. Each uses a different formula. But all have at least two pigments in them.
Daniel Smith uses PB29 and PBk9. That's Ultramarine with Ivory Black.
Blockx uses PB29, PB15:1 (Phthalo Blue Red Shade) and PBk11 (Mars Black). The colour and texture looks like graphite.
Sennelier uses PV19, PB15:1 and PBk7 (Lamp Black). There are many colours that use PV19, most common being Quinacridone Rose. This is closer to a neutral gray but still has a tint of coolness to it. Daniel Smith's version is the coolest and looks most like Payne's Grey to me.
Payne's Grey is a nice colour to use for tonal studies. You can get a huge range of tones from the light to incredibly dark.
I don't mix shadows by adding Payne's Grey anymore. I use Payne's Grey for tonal studies. It's a great colour to use when you want to colour your sketch but don't have the time to do so. You can quickly add shades and contrast with Payne's Grey.