Well, for one, it's unlikely your privilege only has an impact on one other person in the world, so even if you think the person addressing you about the issue is rude and someone you have no reason to respect or care about, what they're saying is probably still true and relevant to other people you do deign to care about and, therefore, is worth considering on a larger scale.
For two, May's an asshole. Of course, a fair amount of the time, assholes act the way they do to cover their own issues - we've all got 'em - and while that isn't an excuse for their behavior, it's worth understanding where they're coming from to get past that (as Dale did in their initial interactions...eventually...with great patience). It's messed up to be rude to everyone who isn't in your circle of exceptions ("NICE LIST DOT TEE EX TEE"), but hey, some people are messed up. That doesn't mean "lie down and take it," but you can't expect everyone to strictly adhere to a set list of social expectations, either.
That's not saying "if you don't hang out with them anyway you're an intolerant jerk," either, 'cause no. It's saying, "shit's complicated."