Same goes for a foreign flag in Albania. Serbians used to be oppressed in Albania, Albanians used to be oppressed in Serbia, Greece etc. I wouldn't care if I would see a Serbian flag in the middle of Tirana (bear in mind that the war happened in 1999, so it's extremely recent and tensions are still high), however if you'd ask me to hold that flag I'd categorically refuse.
Because it's a national flag and there are valid reasons you might have opinions on what that flag represents.
There are no valid reasons to dislike the rainbow flag. It represents the rights & freedoms of a community, not a country. They've not been part of any wars or invasions, they just want to exist freely in the world without persecution.
And BTW I don't think Gueye should be forced to wear it. I just think people are very much free to label him as a massive dick for not doing so.