I have never purchased a Gray Market item.
However, it is my understanding that if you do purchase one of these from
B&H or
Adorama, they will take care of any warranty issues for you, acting as a middleman.
Buy Grey Market from another vendor, and you take your chances. I understand the fact that you get these gift cards, etc. But you may want to think about spending them on something else that you don't have to worry about your gear.
Buy your groceries at WalMart, and take that cash you didn't spend at the grocery store and put it away towards your lens.
Just a thought.