It has certain connotations.
IMO, it's more about what's called "moving the goalposts". "Negro", for example, was once considered an acceptable alternative to the more prevalent, vulgar terms of the time. But over time, people got to thinking that seemed dated, and as the bigots switched terms suddenly the context of the term changed. When a bigot calls you a "negro", it has a different meaning than when a white civil rights activist might, for example. So the term "negro" changed as more bigots started to use it because they were asked to use it.
And then then we saw 'black'. And then we saw 'colored'. And then we saw 'African-American'. And so on.
It strikes me as a Sisyphean branding race to stay one step ahead of the bigots. At some point you gave to let words just be words.