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.
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.