They weren't going into excess with it like others have in the past but complaining about being famous is kind of a slap in the face to fans. Working with WWE or any other program on TV, you have to expect people out there will recognize you and want to interact with you. Blending in just isn't an option. It isn't about them as individuals anymore, they are a walking piece of a brand.
Really though, most fans would understand if you said "Look, I haven't slept and I am having a bad day. Let's take a quick picture and let me get back to my shopping."
I would never want to be famous in this sense. I know it would bother me to go out anywhere and have people come up to me every single time. I do give them credit cause you don't hear about this happening all the time with Roman or Rollins but one instant will haunt you for awhile.