I've had experience buying from AD and grey dealers. To be honest, AD would be my priority but sometimes the savings can be very good at the grey which makes it impossible to buy from AD. But these days with the poor exchange rates, grey are not really that much cheaper anyway. And buying from AD sometimes you'll get some freebies thrown in.
Not sure about your "others" but I would research extensively on that particular shop before you decide to buy it from there. My advice is if you're relatively new to luxury watches, go the AD route to have that peace of mind.