Where to buy L lens

[bEnd1ck]

Sorry, but what are grey sets? Do they only exist for L lens or for all Canon lens? Any method I can use to tell if it is or isn't a grey set?

No its not a case that only exist for L lens, not only for Canon lens. Other makes and models, lenses and bodies applicable too. Other products, industry also have. Some industry call it export set, some call it parallel import, some call it ‘水货‘。
Generally means no warranty by local agent. Shop warranty varies from shop to shop.