got it!

A grey import is one that has come into a country without being part of the usual supply channel from the manufacturer to the appointed distributer. So, for example, suppose a shop doesn't buy from Pentax Uk but goes instead to a supplier in Hong Kong. That would be a grey import.

And the reason that can be a problem is because some camera manufacturers choose not to honour warranties if you don't buy their chosen product for your country.

It all started back in the late '70's when pricing difference between UK (& Europe IIRC) and the USA was very large. So every trip to the US involved buying camera gear. Even if you declared it to Customs on return you were still quids in. So all camera manufacturers rather than balance out their prices developed per-country Warranties. Back then grey import only used to be an end user issue, but then manufacturers had much more control over their channel back then.

So no warranty just becuase it's from a different supply chain?

Is there not a global warranty on a product regardless of "where" it came from?

Would have thought the "grey import" seller (if based in the UK) would offer a warranty of some sort?

In practice, you might well get the 1 year standard warranty, but not the enhanced 2 year Pro Centre warranty. The supplier is of course liable in the first instance, so they would have to sort out a problem for you. In theory. How long it would take is an unknown variable.

It's probably safer and better all round to use a recognised Pentax dealer such as SRS, Park Cameras and others.

If you have paid all the duties due on a lens Sigma will honour the warranty on a lens. They know where a lens was intended of by it's serial number. If you can prove you have legally imported it it from the country for which it was intended you are OK.
Pentax are (or at least were) the same.

Does that mean proving yopu've paid the duty on it Gwyn?

I presume theres some EU legislation protecting consumers here is there?

If you import something from abroad by post you will pay any taxes and duties due on it, and get a receipt.
If you buy something abroad and bring it back with you you declare it, pay anything due on it and again get a receipt. Even if there is nothing to pay you an ask for a receipt to that effect. It proves you have legally imported the item.
Sigma can, and often do, ask for that receipt.

This doesn't apply to goods traded within the EU. In theory at least you have a two year guarantee on anything bought within the EU. Theory and practice can be very different however.
But beware of the likes of Pixmania - who trade within the EU but often with grey imported goods.