The other thing that has kinda already been mentioned is that it's good to normalize being different. During the lavender scare in the 1950s, you could be fired for having a missing button on your blouse, because that suggested homosexual tendencies. Even if you were straight. This got so bad at one point that people started introducing themselves and including their wide and kids in their introduction just to allay any fears that they might be gay/bi.

We have pride parades to not only protect LGBT people, but everyone. So that the people with the missing buttons aren't reported by the Carols and Karens of the world, so that people with naturally effeminate mannerisms aren't bullied in schools, so that kids sho grow up in same sex families can live in peace in screwed up states like Florida or screwed up countries like Russia. Pride keeps the sort of tribalistic evil showcased in Lord of the Flies at bay.