Why did Mikey get so pissed at the officer?

I wondered about that too. He had to know that K would shoot him if he tried anything. Must have been a simple set up for the following scenes. A weak spot in the script though.

My take on it is that Mikey belongs to a species that is constantly in danger on its home planet, and so evolved to be aware of its environment at all times (the ability to see behind it, for instance) and to defend itself with extra appendages and huge teeth when threatened. Mikey saw the guy "sneaking up behind him" (as he seems to have interpreted the situation), and his instinct to protect himself from this "threat" overcame his rationality.

Or maybe his species is carnivorous, and the Border Patrol agent looked especially tasty, and Mikey just couldn't resist. .

That said, the real reason is, as other posters point out, to set up a brief explanation of who the MIB are and how they operate. There's really quite a lot of information in a relatively short scene, which is a model of "show, don't tell".

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"Oh, well" said Zanoni, "to pour pure water in the muddy well does but disturb the mud !"

I always thought it was because Mikey had some sort of...oh not exactly respect for, but was deferential to the Men in Black for some reason. Perhaps they had other influence beyond the immediate situation. I always imagined something like they were allowing him and others of his kind to stay on earth as a haven, so to speak. So, he had no problem attacking the agents but wouldn't attack the MIB. I agree with Silovik, they were trying to set up the background showing the influence of the MIB on aliens.