I used to feel that getting offended was useless and counterproductive, but a friend pointed out that if people are not treating you with respect, that can be a genuinely problematic situation.

Wei Dai suggests that offense is experienced when people feel they are being treated as being low status. So if you feel offended, a good first question might be "do I care that this person is treating me as low status?" If there is no one else around, and you don't expect to see the person again, then your answer may be no. If there are others around, or you expect to see the person again, then things may be more difficult. Yes, you can politely ask people to be more considerate of you, but that's not exactly a high-status move.

So, I don't feel that "never act offended" passes the "rationalists should win" test as a group norm. It might actually be good that "That's offensive" represents a high-status way to say "You're treating me as low status. Stop."

It might even be worthwhile to expand the concept of offense. Currently it's only acceptable to be offended when people treat you as low status in certain narrow ways. If someone says something nasty about your nose, "That's offensive" is not nearly as high-status a response as it would be if someone said something about your race. (Theory: "That's racist" works as a high-status response because you're implicitly invoking the coalition of all the people who think racist statements are bad.) But nasty statements about your nose can still be pretty nasty.

To expand the concept of offense to all nasty statements, you might have to create a widespread social norm against nasty statements in general, to give people a coalition to invoke. Though, perhaps "Gee, you sound like someone who has a lot of friends" or similar would act as an effective stand-in.

(As you point out, it's not too hard to fake offense, so we don't necessarily disagree on anything.)