Yes, technically speaking, using "their" for gender-neutral third person is grammatically incorrect. Instead, you should actually say "his or her" which refers to a singular possessive, whereas "their" refers to a plural possessive. Some people find it easier to just say "their" instead of his or her and the meaning is conveyed fine, but just for the record it's not correct.
Incorrect: A person (singular) should raise their (plural) hand to speak.
Correct: A person (singular) should raise his (singular) or her (singular) hand to speak.
Correct: People (plural) should raise their (plural) hands to speak.