Grey doesnt mean french specifically! Grey means goods that are sold outside the region that they were intended for.
For example Yamaha will sell products through a UK division (or something like that). The UK division will then provide support to the UK products that they supplied.
In some cases it may be cheaper to buy a product from another region, and import it (or buy it from a company that has already imported it). In the past, for obvious reasons, the UK division of the company (or its official distributors) would not be too happy about that, and refuse to honour any warranty support for these "grey" products. However I believe that nowadays with products officially sold in any EU member country, then the companies are legally bound to provide support in any other EU country. Thus if you bought from France (ie Pixmania) then the manufacturer would still have to provide you warranty support in the UK.
However, products bought from outside the EU (eg Hong Kong, or USA) are unlikely to be supported under warranty by the UK company. If the UK company does offer support at all, it could be slower than their service of the UK equivalent product. I guess this could be because the products from different regions have slightly different specs, and they need to get the details sent through to them to know how to service them properly, and then maybe they have to order spare parts from overseas which could take some time.
So, anyway, buying "grey" is okay, as long as you understand what it means. Also, if you buy a "grey" product from France, note that you are unlikely to receive a UK mains lead - chances are you will get a french plug, and a UK adaptor. This sounds ok, but on my Logitech mouse I bought from Pixmania, this bloomin adaptor sticks a mile out from the wall !
Pete.