I think, prior to coming here I would have just seen the word Nazi and recoiled in disgust, but I have begun to realize that history isn't black and white. The Baltic States were occupied by Stalin under the terms of the Molotov Ribbentrop Pact. There are equivalent histories to the Latvian Waffen SS in nearly every one of the postcolonial, post-Soviet states. The interpretation that these units were formed, not in solidarity with fascist ideals, but in an vain attempt to throw off they yoke of Stalin's oppression has appeal.
However, there is no doubt the nationalism of Nazism had appeal to the young Latvian nation which had lost its short-lived independence after only 22 years. (in spite of the dominance of the region by German aristocrats in the past) And, antisemitism was not uncommon throughout Europe and America. So the narrative gets more muddled. Especially with the situation in Ukraine and the accusations that the US/EU have sided with fascists, I can see how the Embassy really wants no possible connection with Americans and the demonstration. We would love to be able to go to observe the phenomenon but will heed the warnings and stay away.