Don't forget the balkans have been destroyed multiple times by nationalistic wars, most recently in the Former Yugoslavia, so nationalistic sentiments may be more prominent.
It tends to be more about ethnicity than nationalism per se, but yes. Your membership in the Albanian/Serb/Roma/Croat/etc. community is central to your personal identity in the Balkans, far outweighing where you happen to live or where you happen to spend your Sunday mornings/Friday afternoons.
They're all interrelated though, so it gets complicated rather quickly. But yes: Serbs are proud to be Serbs.
You guys have got to chill out. You've got beautiful landscapes, mountains, ancient architecture there. Why focus on that divisive ethnic bs? Enjoy your area of the planet.