First of all, the grey market pianos are more of a concern from a tuning pin/pin block aspect if they are going to a climate with lower humidity, like N.A or a desert area. They will dry out and reduce the wood's tension on the tuning pins. Secondly, the strings and metal parts should be inspected to ensure they are not rusted from the previous humid climates. One store here exclusively sells grey market yamaha's and charges 2.5-3K more for them than others. The reason being is that he changes out the tuning pins and strings in all of them. They offers a 10 year warranty with this practice and won't do it any other way. Buying one "as is" is a bit of a risk, sometimes its alright, more often than not, you get bit in the long run.
As a technician/piano player my advice as far as "baby" grands is concerned is to try and get something a little bigger if you can....183cm (6 ft) or bigger. The inharmonicity in the bass, tone and projection of lesser lengthed pianos is severely inhibited by the reduced string lengths. You pay a hefty premium for smaller instruments which sound even somewhat decent.
Consider purchasing Larry Fine's book, The Piano Book (user/buyers guide). Do a search for the free online supplament to it for more updated info. Will put a link to it below but not sure if that will process through here...
http://www.pianobuyer.com/publication.html#1
Grand piano Dubai