Calloing a Scotsman Welsh isn't by nature insulting: it would simply be incorrect (other, perhaps, then in cases such as Ronald Stevenson who was Scots on his father's side and Welsh on his mother's, although I've never heard him referred to other than as a Scottish composer). Speaking personally, I'm a European first, a Scot second and a Brit last.
Anyway - back to the topic!
On the other hand, Scots do find it offensive when the whole of the UK is referred to as "England", which is very common.
True!
There is a clear analogy between the music of the four nations and sport. There is seldom a "British team"; there will be a Scottish team, a Welsh team and so on, and there is fierce rivalry. Traditionally, a Scot will support whichever team is playing against England in a match, and it doesn't matter who.
That's also largely true, but...
Because of separate cultural and linguistic histories, each nation does have an individual musical character, at least so far as folk-inflected music goes. So RVW is quintessentially English in character, while Grace Williams is a conspicuously Welsh composer, drawing on quite a different cultural background.
...I don't see this as applicable much today, either within UK or indeed elsewhere. Even Elgar doesn't sound "English" to me. Take four English composers born in 1943 (two of them actually on the same day) - Brian Ferneyhough, Gavin Bryars, the aforementioned David Matthews and Robin Holloway; would anyone listening to the work of all of them be expected even to assume the country in which each originated, let alone that they all came from the same one?