Let $u \in W^{1,p}(\mathbb{R}^n) \cap L^{\infty}(\mathbb{R}^n)$ be a given function for some $1<p< \infty$ and let $k \in \mathbb{R}$ be any number and consider the following maximal function $$ \mathcal{M}_{\leq k}(|\nabla u|)(x) = \sup_{R>0}\frac{1}{|B_R(x) \cap \{u \leq k\}|} \int_{B_R(x)\cap \{u \leq k\}} |\nabla u| \ dx. $$

Question: Is it true that $\mathcal{M}_{\leq k}(|\nabla u|)(x)$ is finite almost everywhere?

Question 2: if the answer to the above question is true, then can the measure zero set where the maximal function is infinite be independent of k?

More specifically, can one find a measure zero set $E$ such that for all $k \in [a,b]$ in some closed interval, the above maximal function is finite outside $E$?

Question 3: in question 2, can I ask for a weaker conclusion, in that can $E$ be found such that $\mathbb{R}^n \setminus E$ is dense.

Analogous question regarding $\mathcal{M}_{\geq k}(|\nabla u|)(x)$ can also be asked.