I believe that I know the main reason for Rodman's behavior, as bizarre as it is. It's very simple, really -- ego.
This is a man who's used to being the center of attention, who is no longer in that position. He's a has-been, relegated to trying to keep in the public eye by being on The Apprentice, or other stuff like that. The man is desperate to be seen as important and special.
This whole Kim Jong Un thing accomplishes that on two different levels. First, obviously, it puts him in the center of the media spotlight...and allows him to depict himself as a world-class diplomat who is seeking to solve a problem that nobody else can. He's directly made this very claim on multiple occasions (although now he seems to be backing off from that aspect a little).
But more than that, Kim Jong Un treats him the way he things he should be treated. Expensive dinners, lavish praise, expensive gifts, etc. He gets to hobnob privately with the President of a country. What are the odds, do you think, that Obama would invite him to have a private dinner with him? (Although, going back to the OP, he'd have a decent chance of having dinner with Rob Ford...they'd probably share stories about how the media abuses them, and they're misunderstood by the public)
And that is why he's acting the way he is. Because, very simply, a guy who would treat him, Dennis Rodman, so nicely very obviously must be a nice guy, and everyone else just doesn't understand the real situation. Rodman is quite incapable of viewing anything outside of the perspective of how he is treated, how he feels.