Only good thing about a grey market machine is going to be the price IMO.
If you're running a business I'd avoid them. They may not meet US safety regulations which could leave you open to probablems if something goes wrong. Same for emission compliance.
They might also have different specs or parts than the US equivalent. So if it goes down it's might to be a huge pain just to find a replacement part, let alone someone who will work on it. Most dealers try to avoid working on them in my experience or charge a premium to do so.
That said, if you find a good one that's CAT/JD, you might get a screaming deal. That's IF you're using it personally AND you're mechanically inclined so can do maintenance yourself then maybe you'll be alright. But I'd try to line up a contact for parts before purchasing (hopefully whoever is brining them in can get you parts).
In the event you decide to buy one I'd recommend running it into the ground because the resale value on them is going to be low - which is why you're probably considering it in the first place.