Samsung removed the feature from Power Saving, but you can still activate grayscale mode in the developer options.

Go to your Settings and into the Developer Options. 

* If developer options isn't there, you have to manually activate the feature. Follow the steps in [this answer][devoptions].

Scroll to the `Hardware-accelerated rendering` section, and click on `Simulate color space`. Then select `Monochromacy`. Your phone is now in grayscale mode.

This color space option also exists on other phones.

[devoptions]: http://android.stackexchange.com/a/33497/11190