I've marched with AVEN at Pride London the last few years, but admittedly my situation is different to yours. In my case, I'm not "proud", I just am, and I'm also an introvert so I don't actually enjoy it either, I only go to promote visibility and education.

I guess in the end, go if you want to go and represent what you want to represent. From experience though, the group you are marching with, if it's an AVEN group, will almost certainly promote different romantic orientations and try to ally itself with other orientations. Asexuals have always been a bit of a "third wheel" in the Pride Parades anyway in my opinion, because it's technically an LGBT event and I tend to feel like a bit of a gatecrasher.