Completely agree with everyone saying that it's an individual decision. But FWIW, I don't think it's inherently disloyal to acknowledge that you like other teams and non-Wings players, as long as that doesn't get in the way of supporting the Wings (as in wearing some other team's gear to the Joe or something like that). Of the 29 other teams and their rosters, I'm sure we all have preferences. I don't think it's a crime to root for the Lightning when not playing the Wings, for obvious reasons and for example.
I don't have a ton of stuff from other teams, but I do have a couple items - a Sabres long-sleeve tee because I kind of like them, the box set of 10 Oilers games on DVD because those 80s teams were a blast to watch, some Whalers stuff because they were my co-favorite with the Wings when they existed. I also collect pocket schedules, and if I find myself in a city with an NHL team, I'll go out of my way to grab one of the local team. They're free and a cool way to remember where you've been.