The way I see it, most Muslims who follow and enforce Sharia law would like it enforced where ever they go. I really doubt all Muslims believe this since most western Muslims aren't even orthodox. Comparable to a Christian who only goes to church on Christmas and easter day smh.
However, Islam is the only monotheistic religion that actively grasps into the lifestyles of everyday believers, second to Judaism imo. Because of this, groups have more control over a group of followers. If a radical ideology develops, it is easier to subjugate that follower base into following that ideology.
My Allah is best Allah. Why don't you guys follow Allah? Why don't you follow Sharia law? Of course these questions rarely cross the minds of most western Muslims, but there are still Muslims in the world who believe that their way of life > your way of life. In fact, we all think this. Why can't a sheep herder in the Middle East enjoy the same democratic ideals that I have? In same ways that thought is dangerous by itself (installing democratic governments, and we know what happens when the US does that). It becomes dangerous with Islam.
All by itself it is the same goddamn "problem" that we (the US) saw with the Irish and the Germans and other immigrants. The question is now is if we block their way in, are we actually helping ourselves?