Yes, that's right.
I'm not proud to be a brony.
Don't get me wrong; I'm not ashamed to be a brony either, and I certainly am glad to be a brony. I'm just not proud. Let me explain.
First, let's build a solid understanding of what it means to me to "be a brony." I don't see it as part of me, part of who I am; rather, I see it merely as something that I do. While technically true, due to the limitations of the English language, the statement "I am a brony" can actually be a bit misleading. In English, we have but one form of "to be," which I use to say both "I am human" and "I am out of shape." Clearly, human is something that I inherently am, something unchangeable, part of my very identity. Out of shape, on the other hand, is merely the present state of my being, a description of my present lifestyle; it can be changed, and it's not really part of who I am. For be, being a brony falls into this latter category. It merely identifies a particular TV show that I watch and enjoy. It's not really part of who I am, merely what I do. No more, no less.
Now let's talk about what it means to be proud of something. Merriam-Webster defines proud as "very happy and pleased because of something you have done, something you own, someone you know or are related to, etc." Clearly "something you own" and "someone you know" aren't relevant in speaking of brony pride, so it must be closest to "something you have done." (Now, I personally don't think there's really all that much humans can do of which they really ought to be proud, but that's another story entirely.) Achievements and accomplishments in which people do tend to take pride are often successes that took a great deal of effort or reveal long-sought answers or give some great benefit to mankind. Even on a smaller scale, someone may be proud of getting homework done early or landing a competitive job. But as I've established, all "being a brony" means to me is that I like a TV show, and if I were to say that I'm proud of liking a TV show, I might just as well say that I'm proud of liking fried chicken. It's really no achievement, no great success, no meaningful work that I've done. It's nothing more that an example of what I find entertaining.
I do understand, of course, that as with many words in English, the word "proud" isn't always used with it's precise definition in mind. When someone says "I'm proud to be a brony," his meaning may sometimes be closer to "I'm glad to be a brony" or "I'm unashamed to be a brony." And that's what I am: unashamed to be a brony. I wear my bronyhood boldly and without shame or fear. I'm not embarrassed to like a TV show intended for little girls. But it's certainly not an accomplishment to make me proud.