Sorry but I feel quite strongly about this. I have ginger hair myself and my impression is that nobody makes fun of you because you have ginger hair, they make fun of you if you react entertainingly when they refer to your ginger hair. Your son is a good example of that: he likes his nickname, which is being used in a friendly way, and everyone can see it doesn't upset him when someone calls him that, so nobody would call him that in order to upset him. If someone didn't like him and wanted to tease him, they'd probably tease him about something else, because he's sending out signals that he won't react to that nickname.
On the other hand, I have known children with ginger hair who seemed to have been almost brought up to believe that they would be teased for it, so they interpreted any reference to the colour as teasing, got wound up or cried or told tales about it, so of course everybody did it more because their reaction was funny. I even met a boy once who started at a new school and actually went around telling everybody that he left his old school because everybody made fun of his hair. He might as well have worn a sign saying "If you want to push my buttons, talk about my hair." I've also met children who have been brought up to tell everyone their hair is not ginger, it's strawberry blonde - they are the ones who make me despair the most, because there's now a generation of children growing up to think ginger is a rude word, and I've had people tell me I'm not ginger, in a "don't put yourself down" sort of way, when it's a matter of empirical fact that I am, and it doesn't bother me in the slightest as long as people use the proper name for it and not some silly euphemism. (My mum, who was ginger herself, always used the word in a completely neutral way - hair was either dark, fair or ginger, and all three words were equally inoffensive to her.)
I have never had anything but positive comments about my hair, but when I was little people used to make fun of my surname and the fact that my first name was the same as a popular toy of the time (yes, my real name is Clackers Poopypants - or at least it might as well have been) and boy, did I respond in the wrong way. I made a huge fuss so of course the names stuck until I moved when I was 8. I did at least have the sense not to tell my new schoolmates what to tease me about!
Long story short, my advice would be to be pleased that your son sees his hair and his nickname as positive things, and not talk to him too much about his gingerness - it sounds as if he's taking it in his stride at the moment, and the less you give him reason to worry that people might be rude about it, the less likely he is to become sensitive about it. As long as he has that attitude, he's unlikely to be teased - and I definitely don't think the giving of the nickname is teasing in itself, though it would be if he'd made it clear he didn't like it and it was still being used.