A so called "grey market" piano is one which is sold and used in its country of manufacture (usually Japan) and then when the owner gets rid of it, the piano is shipped to another country for resale. Yamaha will not warantee these pianos, though I don't know about Kawai (I would be surprised if they did, however). Yamaha claims that pianos manufactured in Japan are "seasoned for destination" and the wood-curing/drying process is different for pianos that they sell in Japan vs. the US or other countries. THerefore, if a failure of the instrument occurs, they assume no liability.
The subject of "grey market" pianos is a contentious one, and everyone seems to have an opinion. Though there are many who would never buy such a piano, there are many who have, and are very satisfied.