If my local community killed my father and drove me to leave the area, and after I left I waived the local municipality flag to represent I'm from the corrupt county of Adams in Southern Pennsylvania, people would call me a retard.
But if a Mexican waives a Mexican flag in Arizona, he's praised. And it's all because of the color of his skin.
It depends on the conditions in which that singular mexican made it to the states.
If he's illegal then yes, he's a retard. Most illegal inmigrants go to the states in order to escape of danger/bad conditions/whatever, to wave a mexican flag would not only be disrespectful but just plain stupid.
Inmigrants that make it legally tend to be in a better situation economically, so they wouldn't struggle much in their original country, they most likely will feel attachment with their country. Yet as i said there's no need whatsoever for the kind of behaviour you talk about, specially in a foreign country.
I think that waving the flag itself it's not the problem but the circumstances of it. Like someone said, italians and polish wave their countries flags without problems, then again you don't see an italian entering the pitch on a stadium running and waving his flag.