Thermal grease in non-conductive, so it shouldn't be an issue if it is between the pins as it should not short them out.
Its not ideal to have goop in there though, I'd probabaly want rid of it too.
I remember years ago I bought a Socket 939 X2 CPU that the previous owner had literally coated in paste, the pins were covered by a mm or two of paste on the underside. The pins on these CPUs were pretty fragile, not quite as fragile as an intel socket mind. The way I cleaned it up was to use a paintbrush, dip it in alcohol then do horizontal/vertical swipes down the pins until it was clean again. Took a little while, but crucially didn't bend any pins.
You'll probabaly want a fairly fine brush for a CPU socket, (but one with fairly rigid fibres too!) Go carefully, sweep in the direction of the pins and clean the brush regularly.