Is my sand filter leaking sand in the pool? Yellowish/grey residue matter is coming into my pool, especially whilst vacuuming. Does anyone have any suggestions?

Well, if it is sand it will look exactly like sand. To be precise it will look like #20 silica sand which is fairly large grains. What you are describing sounds more like algae and dead algae to me.
If you are vacuuming this sort of stuff out of the pool, some is fine enough that it is passing through the sand bed in the filter and returning to the pool. If it truly is sand, you have some broken laterals or other parts inside the filter.

One easy way to tell if it is your sand from filter, is the sand is mainly in front of your returns in a "V" shape.