pretty much this
I have several MLB hats from various different teams. No reason to think anything of it.
With all due respect, though, I would guess that you didn't just sign a premier contract with one of the rival baseball teams, and that is the difference.
In my opinion, it was incredibly stupid for him to wear this locally and then to tweet the photo for all to see.
When you are a highly paid member of an organization, whether in sports or other industry, you have to understand that you are seen as one of it's representatives, and conduct yourself accordingly.