I think you really don't get it. There are gay pride parades because there are still so many homophobes around the world and, thus, also still a lot of gay people which didn't leave the closest way out of the fear what their relative and friends might think. So, to help these people to come out of the closet and finally assume and show who they are there are gay pride parades, to show these people there is nothing wrong with them.

Now, there is no one who is afraid to assume his heterosexuality, and there is no one being suppressed or even killed for it either, thus there is no reason for it.