I would guess that most black people would get pissed off at getting called African-American unless they have a parent or maybe a grandparent who was born and raised in Africa. The hyphen doesn't really make sense unless you can both speak a foreign language and actually care what is happening in that country/continent.
For Jews, they're a religion actually..
I am not sure but I think that there is a requirement that the mother be Jewish which would make their be less racial diversity in the religion but still too broad. As a religious insult, who cares? EVERYBODY insults at least a few religions in public without giving a shit.
In order for a word for a group of people to be used as an insult, it has to be a group that people fear. N**ger was an insult because people were scared of black men stealing white women and "gay" became an insult because people were scared of gays destroying marriage (which means seducing children and spreading AIDS). I'm trying but I can't think of a time in history when people were afraid of Jews.