Well, it is "grey market" in this case. We don't know for sure where they got the keys, just that they didn't get them from the source. Some grey market keys aren't shady and are legitimate and region-appropriate. Some are shady. The term is typically brought up to reference the shadier practices, but it's a broader term than that.
From an ethical standpoint, if they are legitimate, region-appropriate keys, then I don't have a problem with the practice.
But (and correct me if I'm wrong) users of GMG expect the company to not use grey market keys, even if legitimate. That's why they have a higher reputation than other sites. In that case, I do think GMG should have been more transparent about what they were selling, even if legitimate and region-appropriate.