This makes sense. Adam Dunn is a player for the White Sox. The family appear to be Texas Ranger fans.
The father is explaining that while it was a great catch, it is tradition to throw home run balls hit by the other team back onto the field.
That is why so many of the fans seem to be saying “throw it back, throw it back”.
Now, it could well be the boy did not understand the nuances of being a fan of a particular team, and how you are to react based on that. And so it does appear he is confused. The sister took the ball and threw it back because that is tradition.
Not if it wasn’t her ball to throw back
That is one of the stupidest ‘traditions’ (NOT) in baseball. And it seems to have started with the least classy fans of all, Chicago Cubs. Which btw, is considered the largest outdoor gay bar!