Arnab Pratim Das , Jun 02, 2007; 06:54 p.m.
No grey market products are covered under warranty by Nikon US. That's one key reason why grey market products exist (at a lower price) in the first place. If you must have warranty coverage you should return the grey market product and buy an authorized US product.
What could be more worrying is that I once heard Nikon US doesn't service grey market cameras, not even for a fee. That restricts you only to 3rd party repairmen should something ever go wrong.