Is it right for Muslims in the West to demand sensitivity while Islamic Terrorists denounce Western culture?

What do you think? If they are in a western/Christian country, shouldn't they be more sensitive to, and embrace, their hosts ways instead of trying to change local laws/culture? For example: Imams stage prayer protests in airport, demanding apology from US for racial profiling when 6 muslims were banned from a flight for suspicious behavior, then requested that security/police undergo sensitivity training. What ever happened to "When in Rome..."? And, would the opposite ever occur in a predominantly Muslim country?