It should not be considered a grey market. But it should be considered illegal to grossly vary prices inside the EU region. It's an extremely anti consumer practice and all it does is, as you say, extract more money from the consumers.
There actually are rules that say you cannot charge different prices depending on the location of the buyer, but suppliers trivially manage to circumvent that by making a tiny change and giving it a different SKU.
Although I understand the sentiment, I'm not sure I would like additional legislation to try to prevent that. Even if you do manage to make that water tight the end result will probably mean higher prices for the consumers in countries with low purchasing power.
At no point will the manufacture or distributers sell at a loss unless it's for strategical reasons. Perhaps the prices will go up in the countries with lower purchasing power, but it's bound to go down in the countries with higher purchasing power. That may or may not be intentional, but it's clearly possible to sell it at the low price, so they could just do that.
