Code:
cflx% uname -a
Linux cflx 2.6.18.8-linode22 #1 SMP Tue Nov 10 16:12:12 UTC 2009 i686 GNU/Linux
cflx% zgrep -i gre /proc/config.gz
CONFIG_NET_IPGRE=y
CONFIG_NET_IPGRE_BROADCAST=y
You don't need to install ip_gre module; ip_gre is compiled statically into the kernel and available all the time. That's the common case applying to most of the stuff that's usually modules in standard distro kernels. If you have a crappy script that greps through module list, tries to modprobe blindly, or something like that, comment out the check, and it'll work.
...well, assuming that GRE is still compiled-in in 2.6.32 that you're using. Run my zgrep line at your Linode to verify.
As for why Linode doesn't use distro kernels... it's pretty simple - they won't work as good in a Xen environment, and would be a burden to maintain. Now, if you really, really want to use a distro or custom-build kernel, there's a way of doing it via pv-grub - check Linode Library for details.