Nicknames are what we make them. The word "Mormon" was meant to be a slur but has endured because we "Mormons" as a group mostly shrugged it off and then embraced it as an identifier of a group to which they want to belong. In doing so, they made the once-slur connect to a (mostly) good image.

Many of the other words used to describe groups of all types - whether meant as slurs originally or not - eventually become "offensive" because the people who make up the culture behind the group name don't give the group a good rep. The result is that nobody wants to be known by the "prejudices" the name represents. So we think up a new PC name until it becomes offensive and then move onto the next, and the cycle continues.