I’d bet that after an initial phase of shock and maybe fear, he’d adjust very quickly and embrace much of modernity; certainly an ancient Roman would adjust to modernity better than virtually anyone else from his time.
Things like indoor plumbing would be not so utterly unfamiliar to him, although the superficial appearances and such would be very strange. I wonder if he’d warm to showers right away, or continue taking baths indefinitely. Given the Romans’ appreciation for hygiene and shaving, he’d certainly come to love the modern razors, soaps, shampoos, deodorants, aftershaves and such. Another thing our soldier would certainly be quick to embrace, given his extensive marching, would be modern socks and shock-absorbing sneakers, as well as the modern asphalt roads and smooth cement sidewalks. Modern lighting, HVAC systems and refrigerators are basically improvements, however revolutionary, upon ancient precedents, as books are over the scrolls from his time.
You could, with little effort or imagination, point out to him how influenced our world is by his… from the classic architecture of many government buildings (I’d hold off on showing him anything by the likes of Frank Gehry), to the extensive road network (built largely along the classic principles of the ancient macadam roads), to the cosmopolitan character of the greatest modern cities and the pervasive effects of mostly free global trade. For bonus points, chauffer him around town in a Mercury or Saturn, offer cereal for breakfast and a Caesar salad for lunch, and take him on a tour of a police station and get an officer to show him how a stun gun works. (Any civ whose army auxiliaries/Praetorian guards can tap into the power of Jupiter to subdue hoodlums would be all right by him, I’d bet.) Then you could take him to see a game at any of the nation’s “Coliseums” (preferably at one actually named “The such-and-so Coliseum”), although at this time of year it’d be a hockey game instead of a football game (a USC football game would be ideal, though).
One thing he might relate to better than us moderns might be the Segway transporter. Those things still amuse and freak many people out, but to the ancient Roman, it’d be a lot like a horseless chariot platform. Still freaky, but maybe a bit less so to him than to us.
He’d probably think a TV was like some sort of oracle or Olympian communications portal, and that it was Mercury who was responsible for the visions contained within… at least until he saw something like Billy Mays on it. The flatscreen is no match for a sword or spear.