I have the same problem- I hate labels. Mexicans to me are citizens of Mexico- I am not real sure what Hispanics are, but have been told they are people of Mexican or other Latin American countries. I have also been told Latinos are the radical hispanics. Who gets to decide this? If you ask me this hang up on what to call everyone is just more PC fallout.
If you label all the various groups and subgroups to me that is racist. Yet if you call someone by the wrong group or subgroup you are considered racist. Labels have always been around- but seems we are creating new ones every day, which just adds to the confusion and misunderstandings all around.