When goods are not purchased through 'authorized' distributors, manufacturers will refuse to honor any warranty on the product, and this is a major drawback in the gray market. Manufacturers keep devising ways to track items sold by their licensed dealers, such that certain products are expected to be sold only in a particular country. The same electronic product for example, will be placed with different model numbers on different countries so that the manufacturing company can easily identify whether their item was sold in the â€œcorrect" country. When found to be bought from a third party in a different country, the warranty is not usually enforced. This makes electronic goods and DVDs bad items for gray market shopping.
I can see that the question on what is ethical lies heavily on infringing the rights of the authorized agents and resellers, as they are the ones most financially affected by the gray market. They lose business to the unauthorized sellers. Big businesses and manufacturers constantly lobby to enact laws to curb unauthorized reselling, but the gray market thrives because there are consumers who consistently purchase.
As what Marilou has mentioned, competition between companies is a good thing because it gives consumers fair options. :)