I am not sure what is supposed to be so shocking or surprising about this. Rabbi Yehuda Gerami is the Chief Rabbi there and walks around in his rabbinic garb. They dont just kill Jews on site in Iran, even if it is an oppressive regime. The Jewish community there right now enjoys relative freedom and protection, at least similarly to the level of freedom of everyone else in Iran. Or so they say, but they might have to say that. Either way, even if things are not really great there for Jews, they still walk around relatively safely without getting killed on site. Most people seeing this person might not even identify him as a Jew. They probably do not know who he is or where he came from, just by looking at him.

The person in the video is Rabbi Yaakov Herzog. He is the self declared Chief Rabbi of Saudi Arabia. This is not an official appointment - Saudi Arabia prohibits any religious activity within the country other than Islam. Herzog is there and says he is trying to establish a Jewish community. His twitter feed is interesting and weird, traveling around Saudi Arabia and other Muslim countries, dancing with people in the streets and building his brand.

I dont know why he feels it important or necessary to bring Jews to Saudi Arabia and build a community there, if he gets official permission from the rulers. 

Whatever. Different strokes for different folks. Whatever it is, at least be entertained....