My immediate thought was this: Surely the use of Marcus shows that Mark was a Roman citizen?
So why Marcus for the Evangelist? One might speculate (and this is very much speculation) that if his family received Roman citizenship from Agrippa when he was in charge in the east, they may have taken the names "Marcus Vipsanius" as the family praenomen and nomen. But one might alternatively have expected them to have taken the names of the emperor at the time, Gaius Julius (Caesar Augustus); certainly this was later practice, ensuring that such honours were monopolized by the imperial family. And even if "Marcus" does come from Agrippa, this merely indicates when Mark's family were enfranchised - it says nothing about when Mark himself was born.
In the end, I don't think we can say with any certainty why Mark was called "Mark" rather than any other name. But this does not mean that Connor's broader point about the pro-Roman nature of Mark is invalid. Indeed, given that I think it can be 100% asserted that Mark was a Roman citizen (which leads me to wonder why it never is), his pro-Roman stance is implicit and to be expected. I also think Connor is right about where Mark grew up, in the heavily Hellenized city of Caesarea, which would have had a strong community of Roman citizens, rather than the more traditional Jewish environment of Jerusalem.
I now invite comments from better Romanists than me.
[Edit: Emma England rightly points out that the above is based on the a priori assumption that "Mark" was the Evangelist's birth-name. I don't think that's an unreasonable assumption, but it is an assumption, and I should have flagged it as such.]