"Grey" market items are items that were originally intended for export to non-US markets and do not carry US warranties. In this case, Microsoft intended for those docking stations to be sold in Canada (or other markets; you don't know what market those docking stations were intended for) and therefor would carry (maybe) Canadian warranties. So, if the item breaks or is defective, Microsoft can choose to not honor the warranty.
"Manufacturers may refuse to honor the warranty of an item purchased from grey market sources, on the grounds that the higher price on the non-grey market reflects a higher level of service even though the manufacturer does of course control their own prices to distributors. Alternatively, they may provide the warranty service only from the manufacturer's subsidiary in the intended country of import, not the diverted third country where the grey-market goods are ultimately sold by the distributor or retailer."
Source:
Grey market - Wikipedia, the free encyclopedia
So all I can say is, "Buyer beware."
Why would I want a US warranty? If I buy it from a non-US source and I live here in the US and it breaks or is defective, I would want to get it replaced/repaired without having to pay a bunch of money. THAT is why.