That was the dumbest and most obscure protest ever devised and paranoid lunatics brought it into history.
Sasquatch is actually a man dressed like an ape to protest James K Polk's position on the Mexican-American War.
Nice. Love Errol Morris. Another non-sinister explanation could be that the man is photosensitive and the umbrella was used to shield him from the sun. It was a nice day after all. You see umbrellas used for this reason in India for example. But, here in the West, it would be seen as impractical and a hat might do just as well.
Yeah I was going the albino route too. I worked on a project where we actually had to lease rights for the Zapruder film and I had to spend way too much time watching it. There is nothing weird about it that I could see. I didn't even notice the umbrella guy though.