Robert, I did a little research on this just before ordering my 420 yesterday. What good timing you have!
No. There are no physical differences whatsoever between "gray market" goodies and domestic ones. Apparently the only real difference is that the warranty will not be honored. So order from the US if you like. By the way, it's cheaper here to buy the european 420 then it is to buy the American (domestic) version.
I purchased my 420ex from andoramacamera for 170 american dollars. It includes a 15 dollar rebate making the final price 155. I chuckle about this, because this is the going rate on ebay for one used. Ebay annoys.... people always bid up the good stuff to a price that with a little research could be done for new (and from a reputable seller).
Anyway, I hope this helps.