Living in a border city I cross a lot (including that border). It is without a doubt the best idea to let the egotistical border guards feel they are in control. Answer them without attitude and carry on with your day.
This guy sounds like one of those guys that likes to test the system. Just like the guys that make those videos messing with border patrol down south.
https://youtube.com/watch?v=yHqpuVetLeo