It Depends on the Country . . .
That's my first response. Clinical standards in, say, Mexico or parts of Asia are, by no means, as tight as clinical standards in the U.S. or Canada. All legally manufactured U.S. drugs are subject to stringent F.D.A. standards and, while the F.D.A. does not have authority in Canada, I have found Canadian manufacturing standards to be similar.
I think, however, that what your buddy at the gym means is that the stuff was legally manufactured (in whatever country it was manufactured in) by a pharmaceutical company as opposed to manufactured in a home lab or underground lab. This would certainly make it more pure and more exact in its standards, in theory, than anything manufactured non-legally. However, once again, I would certainly trust a U.S. pharmaceutical company over legal companies in many other nations that do not have as strict a standard of manufacturing and documentation requirements.
At the same time, you said that the guy got it from a pharmacist in another country. It may have been mixed by the pharmacist himself or herself. This is legal in many countries, including the U.S., where drugs are often made by "compounding pharmacies." You don't find compounding pharmacies too often these days, but there are still some out there. (One of the products they commonly made was testosterone in a cream, gel, or ointment base. This is less common since the release of Androgel, which was approved by the F.D.A. in the past couple of years.) Here, the use of the word clinical becomes somewhat subjective - the stuff is made legally, but an individual pharmacy is not subject to the same level of inspections by the F.D.A. as, say, a major pharmaceutical company.
In the end run, there is no objective difference between "clinical stuff" and "Mexico stuff" (in other words, the whole concept is subjective in this context). It all depends on the standards under which either product was made.