You can absolutely get to Ul'dah from Gridania. Just stick to the roads and you'll be fine =)

Also, green circle next to an enemies' name means they'll leave you alone. The red circle enemies are the one you have to be careful of. And, if you're around 10 levels above of an aggressive enemy (red circle) then they'll be too afraid to attack. There are exceptions to the rule though; there are slug like things that are green, but they'll attack with an AOE in self defense if you get too close.