James,
Great question. Grey market does not equal black market. Its a genuine Canon camera. The difference is that it was set up for sale in another country, usually Japan. So be prepared to take the menu out of Japanese and into English (there's a ewwtube video for it somewhere).
Why all the fuss? Exchange rates. Some dude can start a small business buying a large backpack full of these in another country, and sell them in another country with a favorable exchange rate. Even buying their inventory at retail in the foreign country if the exchange rates are favorable enough.
The challenge? Other than changing the menu? Warranty coverage. The term 'authorized retailer.' Yeah, you ain't buying from one with grey market. That means no warranty coverage... if they don't want to. I've heard that Canon may do some repair but obviously they don't have to. Nikon sounds like they're more strict about this. For me the math is easy: I'm saving about 33% off retail for a new camera, that's highly unlikely to have a problem, especially with a two year track record of no prior recalls. I sure as heck wouldn't buy a Nikon D750 grey market. They've had what? three recalls now? Nice benefit of shooting Canon! 