I think that if one has a personal understanding of the history of the circumstances which tie Andalucia and North Africa together, along with some of the cultural, social, and spiritual connections that are maintained between these two separate but connected worlds, the movie Vengo will strike you as being very symbolic.
There is a lot which is implied and will go right over your head if you are not aware of the culture and history of this region (as well as being aware of the life and struggles of Gatlif as a Gypsy man born in Algeria, caught between these two worlds). Gatlif does not spell anything out for you. He leaves it up to you to try to put the pieces together, and he knows that there are certain types of people, with a certain awareness, who will be attracted to his films.
I thought Vengo was incredibly deep with so much true emotion and so much of the subtle and misunderstood inner-struggles of the people of Andalucia being depicted through a number of overlapping stories and characters: The retarded nephew, the man whose daughter had died, the feuding Gypsy families, the exiled father of the son living in Morrocco, etc.
This movie told the tale of a people and their will to hold on to the purest ("Flamenco Puro!") sources of happiness and joy within their lives, amidst circumstances which seemed destined to tear them a part and undermine their unity.
An incredibly beautiful story with lots of information, emotion, and spirit. If you are open, this movie will touch your soul.