I don't know what your fees are at GreatWest, are they more than the fees on a regular Vanguard account? I have a rollover at Vanguard from two previous employers, both accounts were brought into the one rollover account, and neither time did it cost me anything. I don't know of any reason not to rollover your funds, but if the fees are the same then it probably wouldn't make any difference. I do like the simplicity of my Vanguard rollover and the ability to rollover any future 401k (403b) into that single account.
But Vanguard has excellent customer support, please talk to a representative and fully discuss your situation. They will let you know any advantage either way, and help you with the process. For me it was very easy and fees were much lower than the previous accounts.