We have to adapt to country we live in and it is correct expression.

It is good advice. Going to a new country and trying to function in your native ways will not often result well. People may even find it insulting that you go and try to change their ways. Sadly, a lot of people don't take this advice when traveling (Some Americans are particularly bad about this, and give the rest of us a bad name).

It's essential. If more people stick to this rule, there wouldn't be as many problems in many countries with immigrants.

It means that if I go to your country and begin to talk with your men in the manner I use to do here - I'll most likely get a slap, because you are so hot and easy flammable. Joke, of course:-).
I just wanted to make a complement to your men.

About the history and origins
The Saying: WHEN IN ROME, DO AS THE ROMANS DO.
Who Said It: St. Ambrose
When: 387 A.D.
The Story behind It: When St. Augustine arrived in Milan, he observed that the Church did not fast on Saturday as did the Church at Rome. He consulted St. Ambrose, bishop of Milan, who replied: "When I am at Rome, I fast on a Saturday; when I am at Milan, I do not. Follow the custom of the Church where you are." The comment was changed to "When they are at Rome, they do there as they see done" by Robert Burton in his Anatomy of Melancholy. Eventually it became "When in Rome, do as the Romans do."