Nevermind 
I run the command to add www-data to the pihole group (usermod -aG pihole www-data) was executed many times (following this suggestion in other similar posts). Here's how the groups are now:
~$ sudo groups pihole
pihole : pihole
~$ sudo groups www-data
www-data : www-data redis pihole
The Gravity db was created successfully
~$ ls -Al /etc/pihole/gravity.db
-rw-rw-r-- 1 pihole pihole 6402048 May 30 01:02 /etc/pihole/gravity.db
But still doesn't work 