In many/most multicultural countries, ethnic groups retain far too much of their indigenous culture.
That's a correct observation, and there are a few reasons for that I believe.
First, a majority of immigrants are of a lower socio-economic class, which is highly correlated with a low level of education. In Holland, many of the workers that were invited from Morroco and Turkey were illiterate or had only finished elementary education. Because of this lack of education, these people had/have a hard time accepting new ideas, and tend to stick to their old habits and beliefs, which are often very conservative in lower socio-economic classes.
Second, and I'm not too sure about the scientific literature on this but I have a hunch that people that move away from a country tends to stick to their culture, perhaps even more than the inhabitants of the home country. An example is the Japanese writing system and the Kanji's they use in Taiwan, which are actually closer to the original characters compared to the simplified characters on mainland China.
There is actually one book that I read, Collapse (Jared Diamond) which is about the decline of many cultures, and people that failed to adapt to their new environment. I like the example of the Vikings that went to Greenland and basically starved to death because of their reluctance to eat seal meat, while the more native people (inuit) were eating their bellies full. While they were starving themselves, they did update their burial customs to the customs of their home land; findings revealed that changes in the way the hands of the dead were crossed over their bodies were introduced pretty much simultaneously in far away Greenland.
If I have to give a explanation on this phenomenon I would point to the direction of organization theory and sense-making. People form customs, habits and also cognitive short-cuts to make their lives easier and efficient in their home-country. When these people are suddenly in a new environment with a different way of doing things they do not understand, they need to fall back on these customs to make sense of what's happening around them.
Anyways, to make a long story short, my guess that immigrants for some reason have to compensate on the geographical distance by sticking to their culture more. Of course, as I pointed out before, the level of education plays a big role in this too; education makes people more adaptive to new cultures.