There is this common attitude that we can wear whatever we like on mess dress because we pay for it. Although there is a certain amount of flair that is often overlooked*, mess dress is still a CAF uniform and the CAF Dress Instructions do apply.
There is a misconception when it comes to medals that it's the CAF that determines what you can wear and once you're out, those rules don't apply. However, CAF regulations only determine where or how you wear them, not what we wear. The only stipulation for what medals you can wear on CAF uniforms is that they must be approved under the Canadian Honours System. The CAF does not "own" or control the Canadian Honours System. The Crown "owns" it and the Chancellery (part of the Office of the Governor General) manages it. The only current** orders, decorations and medals that are approved for Canadians can be found on the Medals Chart published by the Director Honours and Recognition (DH&R):https://www.canada.ca/en/department-national-defence/services/medals/medals-chart-index.html. It is worth noting that the Nijmegan March medal is not there. Canadians wishing to wear medals that are not automatically part of the Honours System need to request permission from the Chancellery in order to wear them in the same group as Canadian Honours. CAF members submit theirs request through the Chain of Command, who will forward it to the Chancellery. Once approved by the GG, the award of a foreign medal will be Gazetted. Note that there are many UN and NATO medals (but not all of them) that have been accepted into the Canadian Honours System, so they are no longer considered "foreign" in this context.
*Admittedly, I have been wearing a foreign qualification badge (which I have earned) on my mess dress for the last 20 years, in the same position that my foreign colleagues would wear it on their mess dress. I've only been challenged on it once. A CWO told me I was not allowed to do that, to which I politely responded that I would remove it as soon as everybody in the Army took down all their foreign jump wings. The difference being that I actually took the foreign course that earned me that badge, whereas (at least as I understand it) foreign jump wings are often worn by folks who have merely made a certain number of jumps with a foreign army.
**Older medals (e.g. those awarded prior to 1967 under the Commonwealth system) are still approved for wear with current Canadian honours, but that's a little more complicated that I wish to explain right now. The order of precedence can be a little wonky.