i was born in the uk but live in chile. i don't claim to understand everything (i'm not you and chile is pretty mild), but some of this sounds like it's due to the weird status you have as a gringo.

on the one hand, as you picked up, you may be an easy target for "fines" because you're dumb and rich. but on the other, you may be rich and have "contacts" (or because there could be some kind of fuss if you complain) - that offers protection. i suspect your fiance helped push you towards the latter here.

at the same time, you've got a kind of "social status". so if the police hassle you they're showing the "locals" that they're important too - they're not scared of the rich foreigner. but the don't really have that much power over you - if they try to prosecute you for public drinking, say, it's nothing like serious enough to keep you in the country - you can ignore them and leave. so in the end "telling you off" is all that is going to happen. they've shown they're big, you're not, and can say to whoever was complaining about the noise that they "did something".

writing this i feel like it comes across as cheap "teenage" psychology. obviously reality is more complicated. but understanding how you fit, as a gringo, into the society is useful.

staying calm and unflustered is important. avoid getting angry, but don't be too friendly either. show respect (usted), but don't give ground. sounds like you probably did most of that. improve your spanish :)