Not acting Mexican?

One of the most relatable things that we saw in class was the Dave Chappelle show and the skit "Race Draft".  Although I am not mixed race or have any sort of trouble identifying what race I am, I have been told that I am more "white" than "Mexican".  I also have a friend who is black and she has also received the comment of acting "white" and even more dramatically being an "oreo". What they mean or I hope they mean is that I don't act Hispanic nor my friend acts black. Both of us like ballet, classical music, country music and politics. Do we have to be white to like these things, of course not. Who says how does a person from a race have to act or the things they have to like. Just because I am Mexican does not mean anything or does it? We stereotype others and even ourselves. The labels we created for ourselves defined us, is that the same as stereotyping ourselves, and is that a bad thing?