Grey market is a term used to describe an item that was built to be sold in one market(or country) and is later sold in another. In the case of a grey market tractor they are usually tractors sold new in Japan and then later imported and sold used in the United States. It has nothing to do with the quality or being illegal. A grey market could be a Buick from the US that is taken to Japan and sold there. The grey market tractors are good quality tractors but they are typically 20 years old and lack support depending on the model you buy or who you buy it from. Because of their age they will lack some safety devices such as ROPS, starter interlocks and safety warning decals. The grey market brands have been major players in the compact tractor field for many years. At one time or another they built tractor for the US brands and as a minmum build the engines for them now.
Yanmar built for John Deere and they still build their 790 and 990 tractor and supply engines for the 4X10 series.
Shibaura built the Fords and provide engines for them and the Case IH tractors.
Iseki built Bolens & White. They completely build the Massey, AGCO and Caterpillar compacts.
Hinomoto before going out of business built the Allis Chalmer and Massey compacts.
Mitsubishi built compacts for Case IH and most recently built the Cub Cadet compacts.
Typically they do cost less than a domestic brand. They are a good tractor value, they are of good quality, but be careful of who you buy from, make sure they can support you and know which models are the best.