It depends; there is no universal rule. Either response could be more appropriate in different cases. There are situations where if someone's statements overstep certain lines, the rational response is to deem this a hostile act and demand an apology with the threat of escalation. There are also situations where it makes sense to ask people to refrain from hurtful statements, since the hurt is non-strategic.

Also, what exactly do you mean by "productive"? People's interests may be fundamentally opposed, and it may be that the response that better serves the strategic interest of one party can do this only at the other's expense, with neither of them being in the right in any objective sense.

Maybe the most productive variant is just to ignore the offender/offence?

On a slightly unrelated note, one psychologist I know has demonstrated me that sometimes it's more useful to agree with offence on the spot, whatever it is, and just continue with conversation. So I think in some situations this too may be a viable option.