Originally the point was to annoy christians - Norway had a state church and laws against blasphemy and they regularly tried, but consistently failed, to get charged for it (last time those laws had much of an effect was when Life of Brian was originally refused a rating out of concern it broke the law).
As a Norwegian, I wouldn't hesitate to call myself a heathen.
During the 90s, it was embraced as a common denomer for the anti-religious movement.
But honestly, at this point, we've had 30 years of largely positive press for neopagans; I don't see how the word could be considered pejorative.
E.g. we refer to Greek or Roman temples rather than Pagan ones. We also say Apollo's Temple, or Solomon's temple. I guess "pagan" is a fallback for lack of more precise names.
(I didn't notice it in the title at all until GP's comment, I just realized now this is an interesting oddity)