In addition to what Bird said, some grey market tractors have odd PTO speeds, or reverse rotation. (Sometimes not safe for use with US implements.) Also, PTO shields are often not attached, the tractors usually won't have rollbars (ROPS) unless added in the US with a US equivalent's part, and often come with rice tires. These tires sometimes are odd sizes, which means you might have difficulty finding new tires down the road. Also, grey market tractors don't have English safety decals (tractors from Japan will have decals in Japanese).
Sometimes a grey market tractor will have a US equivalent... but often times there is no match. In the case that you have a grey market tractor with a US equivalent, you will have a much easier time obtaining parts for your tractor. Even still, not all dealers support grey market tractors, for various, understandable reasons.
If your grey market tractor does not have a US equivalent model, you are pretty much 'on your own' for parts and service.
Other notes... import of grey market Kubota tractors into the US is illegal, but there are many (manufactured in the late-70’s – early 80’s) floating around ... grey market tractors often are shipped to the US by boat in crates of 8, 16, or 32 machines ... tractors are not the only grey market equipment imported into the US (engines, excavators, lift trucks, forklifts, etc) but tractors have been known to have more support (however limited) than the other equipment.
Hope this helps,