Please tell me you aren't serious....
Actually I am. Anyone that wants to troll/flame can easily do so with a line like that baiting them to. It is just so easy to go "trololol" to that line. The chat is a perfect example of what I'm talking about.
I wouldn't go so far as to say that it's the worst thing to say, but I do agree that trying to correct someone's online behavior by saying, "Don't say gay," is just feeding the trolls.
By saying that, you've exposed yourself as someone who does not appreciate speech that derogates gays. This sets the stage for the guy to do his best to piss you off, and he has a whole library of slurs to throw at you.
People who are sensitive to homosexuals already know not to say, "That's so gay." In my experience, there is a tiny sliver of the "That's so gay" population who honestly don't realize how hurtful it can be and would actually change their ways if this were brought to their attention. It's noble to try to change this tiny section of the users, but usually you end up with mega-troll. If you're willing to accept the abuse that is likely to happen, then go ahead and chide them. Otherwise, it's like chiding a brick wall.
If I feel like addressing that at all, I go a different tack. I may say something like, "You're wrong. The Duchess is not gay because she has a baby. Duh." By taking it literally, I demonstrate how stupid the phrase is. Granted, that pretty much goes over the heads of most of the people who are apt to say, "That's so gay."
Alternatively, I could counter with, "You're right. It's FABULOUS!"