Firstly, with regards to his actions outside of private properties, how are his actions any different to say, a journalist stood with a camera with a long range lense taking pictures from the highway to the office? The invasion of privacy is still clear, the only real difference is the knowledge of the situation.
After having security cameras follow around our every move (I live in the most widely covered town in England) we have become numb to it, it has just become a part of every day life to expect to be stalked by the police and other entities. I believe the uncomfortable feelings these people experienced were due mainly to the fact that he was also though, but that alone would not make them uncomfortable, if say, for instance he was stood in the street taking a video of nothing in particular, say, the other side of the road, people would happily walk by him with little or no discomfort.
The point where he started "invading privacy" by following people round is where they began to feel uneasy, being followed by a camera man is unnatural, but I beg the question, how is this any different to paparazzi? How is this any less legal, say, they the topless photos of Kate Middleton, following Lady Gaga in to a hotel to get some exclusive shots or taking a photo of Madeleine McCann's parents while they are in their home?
The legality of this is in question by a few of the posters, but I feel this is totally wrong, it should not be the legality of whether or not to record audio, or whether the video can persistently track you, it should be a question of free speech versus privacy.
On the one hand you have an annoying man who isn't doing any genuine harm, on the other hand you have a person who clearly believes their privacy is being infringed, the question is, to whom do the majority of the rights fall.
I'm no expert on American laws, but from what I know, freedom of speech is protected by the first amendment, and you could argue that if he is trying to change peoples views and mentality with this video, it is in fact a form of speech and should be afforded the same rights, though a general exclusion is invasion of privacy, according to the Wikipedia page regarding the first , but if so, why is a security camera not an invasion of privacy?
I would be willing to bet a significant portion of this months wages that even if he followed suit with the security cameras and removed the sound from his recording, almost every person would still have felt uncomfortable, especially in the UK, where legally, unless you are suspected of having committed an illegal activity, a hand operated security camera can not track you for more than 5 seconds. 
 - If indeed, the right to not be on video while in public should be regardless as privacy, can you truly have privacy while in public?
 - This number was given to me by an operator of the Blackburn with Darwen CCTV unit several years ago when I took part in a visit for high school and as such I have no proof, so take this point as opinion.
The second security guard is where the insight comes from: "I feel threatened". What made all of the people in the video uncomfortable was not their privacy being violated, but that an unknown person was taking lengthy close-up interest in them. He would have had the same effect, though probably to a lesser degree, if he'd just stood there staring at people.
It's an interesting experiment in social norms, but it's not particularly ethical.
I think you make a pretty good point. This experiment is meant to be about privacy, but there's a good chance that the subject are actually reacting to him moving into their personal space and refusing to leave.
it's probably a combination of the two that makes it so unpleasant for the "victims". If he was there without a camera this would be immediately seen as aggressive behaviour. If he was filming them from a distance, they'd either not notice or probably not really care, he'd come across as a non threatening weirdo. But by getting up close with a camera, the unfortunate subject simply doesn't know how to react, the weird middle ground is deeply unsettling.