Each case is different, to be sure, but all have one thing in common: the fact that a name is sometimes used by the group itself, proudly or jokingly or defiantly or for whatever reason, is no license for others to use it. Gibb Sahib made it perfectly clear that he does not appreciate "Yanks", notwithstanding Roosevelt's Gold Medal for a WWI propaganda song, and the probability that the word originated in the USA, and your assurance that you do not mean to insult anybody.

Even if nobody particular feels insulted, I would not risk to use such names as "Kiwis", except for situations of relaxed friendliness such as discussing national sports teams. As I illustrated above with my "Canucks" example (anyone objecting?), there may be other negative emotions by readers of any nationality.

Now some of us may argue that they cannot be held responsible for unsubstantiated negative emotions, and that the rest of the world is simply wrong. Even if that could be proved (- whereas in fact no proof about emotions exists -), it would not restore one's image of being a polite person.

There are of course cases of doubt, but I do not see any in this thread.