Removing the sticker sounds really shady. It's tough to explain that any other way. It does not just fall off. I think it requires the seller to confirm ownership.
The fact that it's gray market is not worth removing the serial number. Nikon Authorized service would probably handle the item even as a gray market - but might not as a stolen item. There are some parts that are only available from Nikon and that might not be available for gray market - but that's not a big issue as the repair would be uneconomical. To me, the only reason for removing a serial number is the item was stolen.
I would return the item and file a complaint on ebay. You don't want to knowingly have something that is stolen.
You could contact Nikon USA and they might have a suggestion on the serial number.