I think that he (the film maker) had an agenda and technically, he was doing nothing illegal. Would I do it as a non-resident with a Maine CC permit? Not a chance!
If you're convinced you're doing nothing illegal, do you hide behind the Miranda right? Do you take the chance that you may be arrested by an under educated constable? I can't answer any of these questions as a non-resident with a CC permit but if I'm stopped here in my home state with a valid license to carry a firearm, I'd most definitely wonder why my rights were being violated.
As the guy said, as misguided as it appears he was, he wasn't committing a crime! It's as if he were stopped for a speeding infraction when he wasn't speeding! What other agenda was on their mind?