While I can not remember all the exact details, as I am no longer involved in buying construction machinery, there can be serious legal problems arise in certain situations.
Safety is one problem. Most Gray Market machines are not built with the safety equipment required on machines built for the U.S. market. Should an accident occur with one of these noncompliant machines, you could be facing serious liability problems.
Engine emissions is a problem. Many of these machines do not meet pollution regulations. Fines can be pretty high if you get caught.
I can not remember the exact details, but if certain govt. agencies inspect your machine and find it to be a noncompliant, Gray Market machine, it can be confiscated, and you have no legal recourse to get it back. There have been public service advertisements in many heavy equipment magazines detailing all the legal problems you are opening yourself to when buying Gray Market machinery.
And, of course, there is the issue of finding parts, which was touched on above.