It's not fishy, it is normal for grey market to get their stock from out of the country. But it's really all about reputation, make sure the store is trustworthy.
Authorized dealer = warranty through Rolex = anything breaks, you send them to Rolex and they fix it
Grey market = sellers warranty = anything happens then you send them to the store and they either fix it or send it to an independent watchmaker
Then there is also Grey Market like DavidSW that isn't authorized but he has connects that he gets the warranty card stamped and the warranty becomes legit. It's not always offered with all his watches but I think that is the case in most brand new watches he sells.
But yeah for a $400 difference just go AD, hell I'll haggle the hell out of that $400 from the AD and they might just comply. Plus I know most do not care much for it but I do like seeing my name on the warranty card