No, gray market is the exact same product.
Some company will make a product, often in one place - and then sell it for whatever the market will bear in each country. So a low income country in Asia might get the same watch at a official dealer there for the equivalent of half, or much less, vs here. So someone buys that watch in that country, and exports it here, and is able to sell it still at a lower price and still make a handsome profit. However as mentioned, the warranty won't exist.
Can work the other way as well. If you want a designer shirt in Latin America, expect to pay more for it than you would here.
This happens all the time, in almost every industry. Retail pricing is market pricing - ie whatever the locals will pay.