Only a few major brands have International warranty. Rest come with 2~5 years of 'Thailand only' warranty.
For some brands, like Sapphire, I've come across cases where you could directly write to the company and get the local party to accept the product for a warranty replacement. Shipping expenses are involved though.
Again, you only have to worry WHEN things go wrong and stay in the hope that it serves you well. The quality of the products are no different from what you would buy in India or elsewhere.
End of the day, PRICE is KING. I got the HD5670 for around 4K! (that's a diff. of 1.6K)
Oh and be sure to spend a few hours at Panthip, carry a lot of cash.