What an AD does
Brands distribute watches through a tightly controlled network of contracted retailers. The contract requires the AD to sell only at MSRP (no discounting on current production), maintain a brand display, employ trained staff, and (for some brands) restrict sales to brand-curated customer lists. In return, the AD gets allocations of new and limited references, marketing support, and the right to sell with full manufacturer warranty.
The relationship matters
For high-allocation brands (Patek Philippe, Audemars Piguet, Rolex, Vacheron Constantin, Lange), an AD won't sell hot references to walk-in customers. You build a 'history' over multiple purchases of less-allocated pieces. After buying 3-5 entry-tier or non-allocated watches over 1-3 years, you'll be 'on the list' for the watches you actually want (a Daytona, a Royal Oak, a Nautilus). The first watch you buy at an AD is rarely the watch you wanted.
What you get vs grey market
Manufacturer warranty: 5 years standard on modern Swiss; some brands extend to 8 (Rolex, Omega, Patek). Grey market voids this. Resale value: AD-bought watches with full set (box + papers + invoice) sell 10-15% above grey-market equivalents. Service relationship: ADs handle warranty work and route service to brand. Future access: as above, the ability to eventually buy the references you actually want.
When AD makes less sense
Not interested in the relationship game: if you only want one watch and can pay 1.5x retail on grey market, skip AD. Reference is widely available: many less-hyped references (Tudor Black Bay, Omega Aqua Terra, IWC Mark XX) are stocked openly at AD; you can walk in and buy. You're outside major markets: AD networks are sparser in Asia / South America; grey market or brand boutique online may be your realistic options.