Why do we say,“When in Rome, do as the Romans do”?

If you wish to gain esteem and avoid grief, then it’s wise to respect the
customs of the majority within any culture you may find yourself.
When St. Ambrose was sent on a mission to Rome by St. Augustine,
he was concerned about which holy day to observe since the Romans
fasted on a different day than was his custom. St. Augustine’s wise
advice is still with us: “When in Rome, do as the Romans do.”