Why would it be bad to have a name that means 'a Jew?' Christian is a name in the UK - surely it's not much different?
Because Christian is both a name AND a person who belongs to Christianity. Christian is a popular name in many countries.
Jude is only a name in English speaking countries. And Jude is only a Jew in German speaking countries (and not a name)
But this may of course not bother you, I just thought it would be helpful to know.