A couple of things about that video make it illegal:
1. While you can videotape in a shopping center, the actual businesses do not allow photography of any kind. I'm surprised the person was not kicked out by store security for videotaping. Stores do not allow you take photos or videos. Bring this to the attention of the store management and the videographer will no longer be welcome there.
2. Sexual harrassment. You can tell by the comments he was making that the video was designed to harrass and humiliate.
3. Stalking. Following a person with a camera is a type of stalk.
This video clearly should be flagged.