Treating people with respect is easy enough. We all know what it is, and we all know how to do it. And of course we each choose how much respect to give on a case by case basis, using personal judgement.
Political correctness is something else entirely. It's a collection of shibboleths for signaling adherence to (Politically) Correct Thought.
Thus the difference between "illegal alien" and "undocumented immigrant" isn't just --or even primarily--a difference in the amount of respect shown to such a person. It's a difference in what problems you're trying to acknowledge, and what truths you're trying to conceal. What political faction you're trying to speak to, in other words.
You use "undocumented immigrant" not out of sincere interest in respecting those people, but out of self-interest: Politically-correct terms are for maintaining your own position within the in-group. The problem is not, as Neil Gaiman (or whoever) suggests, with people making disrespectful jokes. It's with people declaring that only approved vocabulary reflecting their values and assumptions may be used to discuss a topic.