In Kentucky, they are supposed to be installed by licensed plumbers/electricians/gas contractors and inspected afterward. Whenever you purchase one in state, they fill out the legal paperwork at the store and the store submits it for inspection.
There are ways around it and people do it every day, but should you ever have a problem.. it could come back to bite you.
I had a set of gas logs installed last year and the installer had to call the gas company for inspection after he was finished. They checked my water heater while they were at it. They tried to give me some flack and weren't going to turn my gas back on because it wasn't up to current building codes for earthquake straps, even though it was 100% legal when installed and already inspected 2 times since the house was built 13 years ago.