The reading is 9.4 mega ohms. I read that the resistance reading should be close to zero to indicate the iron is grounded.
The phrase sometimes used would be "hard-grounded" for a very low resistance to ground.
So what could cause your 9.4 MΩ measurement between the soldering iron tip and mains earth pin? As commented by Hearth, the most likely cause is a fixed resistor within the soldering iron, between the tip and the incoming mains earth connection. I've only seen 1 MΩ resistors used there, but 10 MΩ is another reasonable value.
I wrote about various soldering iron grounding options in another answer here:
Bonding in a soldering station
I won't repeat all of that (do, please, read that too) but I'll just point out that there is a significant disadvantage of a "hard-grounded" soldering iron tip, in an imperfect bench setup.
Let's say you have some components on a bench, without an ESD mat, and without any means to gently "bleed-off" any charge they have acquired from nearby insulators (plastic coffee cups etc) which shouldn't be there. (This is known as charging by electrostatic induction.) If you then start to solder those components, if your soldering iron tip has effectively zero resistance to earth, you can cause a damaging ESD event as your hard-grounded soldering iron tip touches a charged component. That accumulated static charge flows to earth quickly through the soldering iron, due to the lack of a high-value (e.g. 1 MΩ or 10 MΩ) resistance to reduce the instantaneous ESD current.
That is why, in many cases, a resistance like the 9.4 MΩ you measured between the soldering iron tip and ground (e.g. mains earth) can be preferable to a "hard-grounded" tip.
You may be able to solve the mystery in your case by unplugging your soldering iron, waiting for it to go cold, and opening it to see if you can find a physical resistor between the soldering iron tip and the mains incoming earth connection.