you are seeing the normal shed cycle. The 'blue' or grey stage is just one part, and only is visible for a few days then they go back to normal (not cloudy) and typically a few days after that, the snake actually sheds their skin..typically a normal shed cycle is about 1-2 weeks from pinking of the belly to tossed old skin in the cage.

The blue stage is typically when it won't eat...though some ball pythons eat no problem in the blue stage.

Snake skin won't dissolve in water. What 'film' you see in the water could be just dirty water, bacterial build up or sperm plugs.
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PHLdyPayne

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