Mess Dress is a uniform in the same way that your service dress is a uniform. The medals you wear on one, should match the ones you wear on the other (notwithstanding that they are different sizes). If you want to wear foreign orders, decorations or medals, then you need permission to do so. Although you can request this through the Chain of Command, permission actually comes from the Chancellery, not the CF (i.e. the CF forwards the request to the Chancellery). Although there are lots of folks who wear both the Gulf and Kuwait Medal and the "Gaudy Saudi*" with their miniatures it is not correct to do so as the Chancellery has never approved the wearing of both together (and will not as it constitutes dual recognition).
*The Kuwait Liberation Medal was awarded by the Kingdom of Saudi Arabia to all veterans of that campaign. However, Canada issued its own medal for it that war, the Gulf and Kuwait Medal. Notwithstanding that CF members were allowed to accept the Kuwait Liberation Medal as a keepsake, it was made very clear that they could not wear it with Canadian Honours.