Being gay is not something to be proud or ashamed of. Sexual orientation is a preference, and it does not make sense to be proud or ashamed of a preference. For example, no one is ever proud that they like ketchup, or cold weather, or that their favorite color is blue. The fact that people are born gay is not even the point. Being gay still simply means that someone has a sexual preference for people of their own gender. There is nothing to be proud or ashamed of, no matter what one prefers.
The use of the phrase "gay pride" is far more than a simple gramatical error. Quite to the contrary, it confuses the debate about gay rights and alienates straight people. It confuses the debate because it perpetuates the wrongheaded idea that sexual orientation is one of those things that we should be either proud or ashamed of. The entire point of the gay equality movement is that sexual preference is not something good or bad. Saying otherwise frames the issue in a way in which gays will lose. If sexual orientation is something to be proud or ashamed of, then straight people will surely decide that they are proud of being straight -- and that gays should be ashamed. It creates a pitched battle over who is better, gays or straights. That is the opposite of the message gays should be sending: we are different in our sexual orientation, but those differences do not make us better or worse than you.