It is a mostly well-intentioned effort to figure out how to allocate resources to disadvantaged groups. If you are, say, native american and don't identify as such on the census especially, then you may be screwing yourself (or more accurately, people in your area who are part of the same group) out of potential benefits and services that are available to you based on that identity.

As a conventional caucasian it has never mattered really for me. But it is and should be important to those groups who want to be properly represented in the population.

I realize of course that outside of the census, which is more confidential / anonymized, it may in some cases provide cause for unsavory profiling or discrimination, so if I were in one of those groups I would probably have mixed feelings about how I identify in various situations.

I agree. A friend filled in Inuit, and thereafter received mail for Inuit citizens.