Seems to me that having your name localised into other languages shows a degree of respect (or at least familiarity). Pity also the French, Franzozerinen; the Anglais, Grossbritannierinen; or the Dutch.
Exonyms definitely aren't always positive — Niemcy and Německo are both from Proto-Slavic "němъ": unclear/incomprehensible speaker; muttering; mute/unable to speak.