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

Meaning:

Don't try to set your own rules when you're someone else's guest.

Background:

The earliest known record of this proverb is in Richard Hill's commonplace book, written between about 1503-1536.

Commonplace books became popular in Early Modern Europe and were, in essence, scrap books filled with quotes, poems, sayings, prayers, proverbs and so forth. In short, they were used by their creators as an aid for remembering important information and useful concepts. In the normal course of events, London grocer Richard Hill would have been long forgotten by history, but thanks to his commonplace book (now housed in the library of Balliol College, Oxford) his notes on diverse topics ranging from literature to mathematics, religious verse to bawdy carols, practical recipes to frivolous riddles, and the births of his seven children: five boys and two girls (four of whom lived past the age of 8) provide modern-day historians with insight into London life 500 years ago.

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