"If gays want to get so much involved in politics, then why don't they start their own party?"
The LGBT community isn't a homogenous political entity - there are a variety of political beliefs within it. Like most people with differing political beliefs who want to get involved, they join the party whose ideas they believe are most in line with theirs. Considering, however, that Britain effectively has a two-party system, this is complicated by the factions that exist within the parties. There are pro-gay factions within the Conservative party, believe it or not.
The community does, however, have numerous supportive pressure groups (like most sections of society do) that are meant to keep an eye out for their rights. The best-known (and probably most successful) is Stonewall.
If there was an LGBT party, however, I think it's likely you'd probably start on your usual 'what next?' rant.
-
To answer the title question, there is no need/compulsion for the Tories to hold a Pride event. It's the first one they've ever held. But somebody has organised it and that's their right. The main issue was the seeming inconsistency of it - Cameron allying himself with openly homophobic MEP while overseeing a Pride event. What exactly are you so riled about?