My Dad went to undergrad at U Toledo and grad school at A&M. He bleeds maroon because Toledo is obviously a very small athletic department and he had just never experienced anything like A&M before he got there (in '87). He still loves Toledo, but he supports the Aggies first and foremost and the two are not likely to ever play each other anyway.
I went to undergrad at A&M and grad school at U Tennessee, so my situation was different from my dad's. I bled maroon long before grad school, which was basically just a job for me. I love Knoxville and have a soft spot for Tennessee as a result my experiences there, but their athletic performance isn't important to me.
I suspect many Ags (or former students of other schools with big athletic departments) have a story similar to mine. Generally, I think if your undergrad has a big athletic department, you're not all that likely to care too much about the athletics of your grad school. If you're an Aggie going to Texas, you're not all that likely to not hope they lose every game in embarrassing fashion.