This movie is actually The Count of Monte Cristore-written as a Zorro story. Don Rafael, who imprisoned Zorro but is a loving father, is the equivalent of Fernand; while Alejandro, in being a thief posing as a nobleman, plays the role of Benedetto/Andrea (albeit not evil like the character in the book).
In the beginning, when Don Rafael ousts Don Diego as Zorro from a wound the masked hero received on his arm earlier, he quips "Blood does not lie". Throughout the story, Elena gradually learns the truth that although he raised her most of her life, Don Rafael was not her biological father as she was lead to believe. Later, despite Don Rafael's claims that Don Diego is just a crazy man gripped by the grief of losing his daughter, the latter is able to tell Elena what her Nanny used to hang over her crib as a baby. Guess you might say "blood doesn't lie" indeed.
Alejandro didn't dance with Elena merely to flirt with her - he did it to attract Don Rafael's attention towards them and get back into the circle of Dons. There's very clearly a glance exchanged between Diego and Alejandro, right before he asks Elena for the dance. He then chose the most risque dance he could to make sure Elena's father would come down.
Presumably, De la Vega taught Alejandro how to dance?
There is some hilarious Fridge Logic resulting from this — Both of the above characters are quite certainly of pure Spanish ancestry and played by actors from the UK, while the mestizo Alejandro is played by authentic Spaniard Antonio Banderas.
A bit of Fridge Brilliance: at one point in the film, Elena's old nanny (though she doesn't know it yet) speaks Spanish to her — which a young girl nearby has to translate, because they've been speaking English the whole time. If Translation Convention is in effect, they're already speaking Spanish, so what is the nanny speaking? An indigenous language, since as the nanny she'd be from the poor, indigenous class.
The nanny is actually speaking Nahuatl, an indigenous language from Mexico, still spoken by millions today.
In certain fight scenes, there are people in the background going on with their work while the fight is happening. When Diego approaches Alejandro in the bar, the bartender shuffles away quickly when Diego gives him a glare. The Fridge Brilliance is the subtle way the film establishes why Zorro is so beloved by the people: he's the only one who doesn't ignore all the violence going on in the world.
Don Diego asks Alejandro if he knows how to use a sword, and he replies that the pointy end goes into the other man, an answer that displeases Diego. Zorro does not kill, unless under situations where there are no other choices; the rest of the time he fences and duels, teasing and irking his enemies, tricking them or just keeping them at bay.
Montero's statement that "It's not just one man, damn it" has a double meaning. Zorro is a One-Man Army that should not be underestimated, and there is not just one Zorro. Either way, Montero knows firsthand that Zorro is a force to be reckoned with.
During the hacienda fight where Alejandro steals the map, at one point he fights off several guards on a circular table. Eventually, Cpt. Love jumps onto this table to engage him, symbolically indicating that Alejandro has finally learned to only confront Cpt. Love once he has "come into his circle."
Diego using Bernardo as his servant identity may not just be a nod to the series despite Bernardo being nowhere to be seen in the opening act. As Bernardo was already middle aged when Diego was a young man, having been Zorro for about 20 years now, long enough for Diego to be hitting middle age and commenting he's getting too old for Zorro's heroics, it's possible Bernardo did exist in this continuity but had already died of old age (or worse during one of Zorro's adventures) and that's why he's not with Diego at the beginning. Same with Diego's father, who also likely had died of old age by the time the movie starts.
Zorro fans would know that Don Diego de la Vega is in fact Zorro's real name in the original stories and its adaptations, especially with the 1920 silent film, the Tyrone Power version, and the classic Disney TV show. So in a way, Mask is the Grand Finale and The Last Dance for the original Zorro!
