It is - and was - not a secret that Princess Mary and Prince Edward did not see eye to eye on religious matters but as it turns out, the siblings had different views on royal behaviour.
Prince Edward wrote to Catherine Parr, asking her to keep the Princess Mary from dancing foreign and exotic dances. In his own words Mary should "attend no longer to foreign dances and merriments which do not become a most Christian Princess." You can almost imagine Mary's indignation towards being reproved by her younger brother on her behaviour.
Despite personal pride, Mary may also have found a sort of comfort in the foreign dances since her mother had brought many Spanish and "Moorish" dances to the English court when she arrived to marry Arthur, Prince of Wales.