Prides, to the best of my knowledge, do not exist to make LGBT people feel special - to a certain extent, they do the exact opposite. They tell the rest of society that such people are normal and that there is nothing wrong with being queer. It's pride in the face of a society that thinks less of you for being gay.
It is on some level a pedantic argument, but words are important. Words shape how we feel and portray ourselves more than we realize. So I think it's important to craft our message carefully: be happy, be confident, but don't be proud.
For one of my friends, it was as simple as telling her mom--who was also gay. My uncle had a very difficult time with it. My uncle has lived with the same "roommate" for the last 40 years. He grew up in the Catholic church, during a time that such self-actualizations did not happen in public. To this day, no one speaks of it. That is a shame.