RMA = return merchandise authorization , correct ?
Why would Senneheiser have anything to do with this? You always return merchandise to the seller, not to the manufacturer unless explicitly stated in the terms of sale.
In case you need a repair, that's obviously something else and I guess they (Sennheiser) would play it on a case to case basis. If for whatever reason there are "a lot" of defects with units sold via some grey market soucre, maybe the refuse to repair, or if they legally can't do that, charge some extra.
Go to their website, there's a long list of unauthorized vendors, maybe also some fineprint what happens if any of these units need service. I don't care about this as I bought mine from headamp.
The unauthorized vendors are listed? That's interesting. Are they fake headphones or just illegally obtained HD800's? I would presume it would be next to impossible to create a fake HD800.