One thing about the samples is that once you list all the separate sources, you'll there aren't that many after all.

Mississippi Burning
Cool Hand Luke
Se7en
Casualties of War
Braveheart

Dr. Martin Luther King, Jr., Why Jesus Called A Man A Fool
Dr. Martin Luther King, Jr., I Have A Dream

To put it bluntly, most (if not all) films above depict an individual persevering through troubled times, while challenging the powers that be by having the courage to think different. There's always a near overpowering oppressor threatening the individual, be it racism (Mississippi Burning), prison (Cool Hand Luke), a psycho killer in a jaded community (Se7en), or war (Casualties of War, Braveheart). While thematically the films here aren't exactly groundbreaking, the ways certain things are expressed in them must've appealed to Axl on a personal level, which is why he's chosen this relatively small amount of sources to pull the material from.

Both Axl's lyrics and the sample montage feature a distinct personality. While Axl announces that 'I won't be told anymore', his polyphonic other half in the montage begins by saying 'I'm gonna tell you a story'. I wouldn't dare reading too much into the mindset of Axl or anyone else closely associated to the song, but to me Axl and the montage carry separate, yet intertwined narrators. One could see Axl's character as someone who feels he's been mistreated and betrayed, resulting in self-imposed exile from the world. Right before the montage, he confesses that he's been spending time self-reflecting and has reached a conclusion, which apparently enables him to forgive those, who hurt him and return to the world he'd fled.

On the very moment of inspiration the montage personality sets in. It could be described as the Axl characters soul, a train of thought, what have you. He addresses the Axl character, telling him to stand up for what he believes instead of letting unfortunate circumstances weight him down. The Axl character, whom I believe is the same personality as the one in the lyrics, is confused by this epiphany and questions the montage personality, whom initially confines himself to the voice of Martin Luther King. His own disposition start to waiver as he realizes that his prevailing emotions are hatred and fear. A motherly voice says that no-one is born with hatred, as it is something you pick up along the way. Therefore, the Axl character should still have an element of virtue within him, and by savoring that element he can right his wrongs.

The Axl character finally confesses to being afraid after what's happened to him. In the final moment of frustration, he tries to shield himself from further 'attacks' by claiming he was in a bad situation where everybody were doing bad things to one another, and that it should be considered a common trait. At the same time, the inner voice coaxes him to abandon his fears, which finally results as an emancipation.

As far as the Martin Luther King sermons go, I might include a little something from 'Why Jesus Called a Man a Fool'.

I want to share with you a dramatic little story from the gospel as recorded by Saint Luke. It is a story of a man who by all standards (Yes, Speak, doc, speak) of measurement would be considered a highly successful man. (Yes) And yet Jesus called him a fool. (Yes) If you will read that parable, you will discover that the central character in the drama is a certain rich man. (Yes) This man was so rich that his farm yielded tremendous crops. (Yes) In fact, the crops were so great that he didn't know what to do. It occurred to him that he had only one alternative and that was to build some new and bigger barns so he could store all of his crops. (Yes) And then as he thought about this, he said, "Then I'm going to do something after I build my new and bigger barns." He said, "I'm going to store my goods and my fruit there, and then I'm going to say to my soul, '˜Soul, thou hast much goods, laid up for many years. Take thine ease, eat, drink, and be merry.'" (Yes) That brother thought that was the end of life. (All right)

But the parable doesn't end with that man making his statement. (My Lord) It ends by saying that God said to him, (Yes) "Thou fool. (Yes) Not next year, not next week, not tomorrow, but this night, (Yes) thy soul is required of thee." (Yes)

And so it was at the height of his prosperity he died. Look at that parable. (Yes) Think about it. (Yes) Think of this man: If he lived in Chicago today, he would be considered "a big shot." (My Lord) And he would abound with all of the social prestige and all of the community influence that could be afforded. (Yes) Most people would look up to him because he would have that something called money. (Yes) And yet a Galilean peasant had the audacity to call that man a fool. (Yes)

[...]

I'd like for you to look at this parable with me and try to decipher the real reason that Jesus called this man a fool. Number one, Jesus called this man a fool because he allowed the means by which he lived to outdistance the ends for which he lived. (Yes) You see, each of us lives in two realms, the within and the without. (Yeah) Now the within of our lives is that realm of spiritual ends expressed in art, literature, religion, and morality. The without of our lives is that complex of devices, of mechanisms and instrumentalities by means of which we live. The house we live in'”that's a part of the means by which we live. The car we drive, the clothes we wear, the money that we are able to accumulate'”in short, the physical stuff that's necessary for us to exist. (My Lord)

Now the problem is that we must always keep a line of demarcation between the two. (My Lord) This man was a fool because he didn't do that. (Yes)

[...]

Now number two, this man was a fool because he failed to realize his dependence on others. (Yes) Now if you read that parable in the book of Luke, you will discover that this man utters about sixty words. And do you know in sixty words he said "I" and "my" more than fifteen times? (My Lord) This man was a fool because he said "I" and "my" so much until he lost the capacity to say "we" and "our." (Yes) He failed to realize that he couldn't do anything by himself. This man talked like he could build the barns by himself, like he could till the soil by himself. And he failed to realize that wealth is always a result of the commonwealth.

[...]

Finally, this man was a fool because he failed to realize his dependence on God. (Yeah) Do you know that man talked like he regulated the seasons? That man talked like he gave the rain to grapple with the fertility of the soil. (Yes) That man talked like he provided the dew. He was a fool because he ended up acting like he was the Creator, (Yes) instead of a creature. (Amen)

If the sermon struck a chord with Axl, he might've considered himself as literally the rich man, who'd become estranged of his former self, the artist that built the house in which the wealthy hermit resided. In that sense, the song could be considered as Axl looking back at his times with the former band, and how he developed an image of a spoiled brat with a rock star tag, and why the band fell due to infighting. There's likely more into the situation than that, as Axl might be throwing a jab at all the people who willingly lifted him to the top of the heap, secretly hoping for his downfall.

In the long run, fame did little favors to Axl. At the height of the band's popularity, Izzy left. The Making of Don't Cry is a good reminder of how alone Axl felt at the time, as he realized he couldn't connect with one of his best friends anymore. Right before the GNR hiatus in '93, he'd publicly hoped that he'd finally have some time to settle down and enjoy life with Stephanie and her infant son. The other family would be GNR, with Slash and Duff. Once he'd finally lost all those around him during the halcyon days, Axl might've felt a retreat is in order, and it is this (assumed) mental state against which I consider Madagascar.