Actually, as most synths use external AC to DC power converters that plug into the synth (ususally 9-12v. D.C.), the power source really isn't that big of an issue. You can buy an external power supply that works off your country's voltage. Note, as most higher end arrangeer synths use a fair bit of power, don't expect to go down to an electronic store like Radio Shack and pick up a small converter for $10. It won't work. It has insufficient amperage. You'll need one like those that power portable refridgerators -- around $50. Of course, you can probably buy the "proper" supply for the synth you've bought from the country you live in. For example, Yamaha sells "just" the power source for these synths.
But I'd say the bigger issue is "warranty". You won't have one. The only way you'll get any warranty is to ship it back to the country you've bought it from (and you'll have to pay shipping the other way too, in all likelihood). It just ain't worth it. For example, I could save a few hundred dollars on a PSR-9000 by buying it "grey market" (that means from a country other than your own). The risk of a failure and having to pay to get it fixed is not worth the savings, at least to me. If the savings were more substantial, say half, I'd go for it. Years ago I bought a grey market Korg Poly-800 (my first synth). It was half price. I got it with a Xeroxed english manual and the "original" Japanese printed manual. I never had a problem with it and still use it 20 years later. Go figure.