I have never known any Jew that objected to being called a Jew. It has actually never occurred to me that anyone would think of it as an insult. So, excuse me, but I just take it that Val baby is easily offended or he's looking for a fight in which he can be injured. Fun time has been had by all though. Jews and non-Jews alike.
Do you read minds? Assuming you do not, one doesn't always show emotion, if one is offended. So, your assessment for many an ethnic, may be incorrect, not just for Jews.
However, getting back to the "Are you a Jew?" question, it was once, and still is pejorative, in many circles, since just the word Jew has been used as an epithet. Now, there is one variable; if one lives in a region where there are few Jews, any Jew that happens to be there likely knows he/she, perhaps at best, is a novelty item to the local Gentiles. At worst a spectre of a take-over of all the coveted awards in the local school system, or some such threat. And, when Jews live in a region where there is a community of Jews, most Jews know how to gravitate towards those Gentiles that have lost the belief in all negative stereotypes from a prior era.
And, some Gentiles are actually happy to find a Jewish person in their midst, since the stereotypes they have heard have been positive stereotypes, especially if one is looking for a friend for their less than gregarious child (the Jewish person's child). Just my opinion.