I think the reason the nickname has stuck is for lack of another better nickname but also because the role was a really memorable one. He Got Game is in my book the best basketball film ever (yeah, I'm including Blue Chips and Hoosiers so if Roy Hobbs comes gunning for me... you know who did it).
I am an athiest, but I think if I was a Christian this might offend me a bit. Because in the context of the film, the name is religiously charged, per one of my favorite movie quotes.
"What kind of name is Jesus?"
"It's a biblical name."
"Yeah, no kidding."
I remember the day we traded for him... I was living in Ohio, and my friend from Iowa comes up to me and just says "Jesus, huh? Your team is saved."
Personally, I find El BJ's name offensive. "King James", get out of here. I'm not calling someone younger than me King, especially when he came into the league and hadn't done a thing yet.